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.
- Language
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 2 ; Year: 2014 ; Issue: 2 ; Pages: 98-122 ; Basel: MDPI
- Classification
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Wirtschaft
Model Construction and Estimation
Forecasting Models; Simulation Methods
Portfolio Choice; Investment Decisions
Financial Forecasting and Simulation
- Subject
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GARCH
mixture-normal-GARCH
noncentral t
lookup table
- Event
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Geistige Schöpfung
- (who)
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Krause, Jochen
Paolella, Marc S.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2014
- DOI
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doi:10.3390/econometrics2020098
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Krause, Jochen
- Paolella, Marc S.
- MDPI
Time of origin
- 2014
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