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A Fast, Accurate Method for Value-at-Risk and Expected Shortfall
Company: Econometrics
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: June
Resource Link: Click here to open
Pages: 98-122
Download Count: 0
View Count: 1146
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-25-2014
Publisher: Administrator
Summary
Abstract: 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.
(volume 2, number 2)
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Author(s)
Krause, Jochen Sign in to follow this author
Paolella, Marc S. Sign in to follow this author
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