Artikel
A fast, accurate method for value-at-risk and expected shortfall
A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually outperforms highly competitive models. Most remarkably, this is the case also for sample sizes as small as 250.
- Sprache
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Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 2 ; Year: 2014 ; Issue: 2 ; Pages: 98-122 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Model Construction and Estimation
Forecasting Models; Simulation Methods
Portfolio Choice; Investment Decisions
Financial Forecasting and Simulation
- Thema
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GARCH
mixture-normal-GARCH
noncentral t
lookup table
- Ereignis
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Geistige Schöpfung
- (wer)
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Krause, Jochen
Paolella, Marc S.
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2014
- DOI
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doi:10.3390/econometrics2020098
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Krause, Jochen
- Paolella, Marc S.
- MDPI
Entstanden
- 2014
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