A Corrected Value-at-Risk Predictor

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and end in an empirical illustration that it is economically relevant

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Year of publication:	2009
Authors:	Lönnbark, Carl
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Risikomaß \| Risk measure \| Prognoseverfahren \| Forecasting model \| Schätztheorie \| Estimation theory \| Risikomanagement \| Risk management \| ARCH-Modell \| ARCH model
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Applied Economics Letters, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 17, 2009 erstellt Volltext nicht verfügbar
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013155483