Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

GARCH sign in to follow this
Greece sign in to follow this
stock index sign in to follow this
skewed Student-t sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Value-at-Risk for Long and Short Trading Positions: The Case of the Athens Stock Exchange
Year Of Publication: 2006
Month Of Publication: January
Pages: 34
Download Count: 16
View Count: 1604
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-10-2010
Publisher: Administrator
Summary
This paper provides Value-at-Risk estimates for daily stock returns with the
application of various parametric univariate models that belong to the class of ARCH
models which are based on the skewed Student distribution. We use daily data for
three stock indexes of the Athens Stock Exchange (ASE) and three stocks of Greek
companies listed in the ASE. We conduct our analysis with the adoption of the
methodology suggested by Giot and Laurent (2003). Therefore, we estimate an
APARCH model based on the skewed Student distribution to fully take into account
the fat left and right tails of the returns distribution. We show that the estimated VaR
for traders having both long and short positions in the Athens Stock Exchange is more
accurately modeled by a skewed Student APARCH model that by a normal or Student
distributions.
Author(s)
Kouretas, Georgios Sign in to follow this author
Zarangas, Leonidas Sign in to follow this author
Diamandis, Panayiotis Sign in to follow this author
This document's citation network:
Similar Documents:
Documents that cite this work:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile