#2909. Adaptive stochastic risk estimation of firm operating profit

November 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3510 $

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Journal’s subject area:
Economics, Econometrics and Finance (all);
Economics and Econometrics;
Business, Management and Accounting (all);
Business and International Management;
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Abstract:
The article presents an adaptive stochastic approach to modeling and assessing the risk indicators of the operating profit of a non-financial business. The results show that country-specific exogenous financial market variables, including foreign exchange, interest rate, and inflation rate, are modeled stochastically using the ARCH/GARCH, Vasicek, and mode switching processes, respectively.
Keywords:
Business modeling; CVaR; Multivariate time series analysis; Residual Student-t copula; Skewed-t GARCH; Stochastic processes

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