Bias of a Value-at-Risk Estimator

We develop the analytical second-order bias of a Value-at-Risk estimator based on an ARCH(1) volatility specification when the parameters are estimated by the method of quasi maximum likelihood. We show that the bias results from two sources: assumption on the distribution of the standardized residuals and the parameter estimation error

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Year of publication:	2016
Authors:	Bao, Yong
Other Persons:	Ullah, Aman (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Risikomaß \| Risk measure \| Systematischer Fehler \| Bias
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters, Vol. 1 (4), 241-249, 2004, DOI: 10.1016/j.frl.2004.07.001 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 25, 2004 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

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