Arbeitspapier
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of modeling foreign exchange-rates and demonstrates their superiority over use of normal or Student's t GARCH models.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFS Working Paper ; No. 2003/04
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
General Financial Markets: General (includes Measurement and Data)
- Subject
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Risk Management
Value at Risk
Density Forecasting
Predictive Likelihood
- Event
-
Geistige Schöpfung
- (who)
-
Mittnik, Stefan
Paolella, Marc S.
- Event
-
Veröffentlichung
- (who)
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Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
-
Frankfurt a. M.
- (when)
-
2003
- Handle
- URN
-
urn:nbn:de:hebis:30-10106
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mittnik, Stefan
- Paolella, Marc S.
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2003
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