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Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...

In this paper we propose a method to estimate the value-at-risk (VaR) of a portfolio based on a combination of time series, extreme value theory and copula fitting. Given multivariate financial data, ...