Numerous advances in the modeling techniques of value-at-risk (VaR) have provided financial institutions with a wide range of market risk approaches. However, which model to use depends on the state ...

Bayesian nonparametric mixture models represent a powerful statistical framework that extends traditional mixture modelling by allowing the number of mixture components to be inferred from the data ...

Nonparametric tests are popular and efficient methods of detecting jumps in high- frequency financial data. Each method has its own advantages and disadvantages, and their performances may be affected ...