Search Results - subject:"skewed Student distribution"

Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange

Diamandis, Panayiotis; Kouretas, Georgios; Zarangas, … - Department of Economics, University of Crete - 2006

univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We use daily data … APARCH model based on the skewed Student distribution to fully take into account the fat left and right tails of the returns …

Persistent link: https://www.econbiz.de/10004994338

Market risk in commodity markets: a VaR approach

GIOT, Pierre; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2003

We put forward Value-at-Risk models relevant for commodity traders who have long and short trading positions in commodity markets. In a five-year out-of-sample study on aluminium, copper, nickel, Brent crude oil and WTI crude oil daily cash prices and cocoa nearby futures contracts, we assess...

Persistent link: https://www.econbiz.de/10005043519

Value-at-risk for long and short trading positions

GIOT, Pierre; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2001

ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for … Normal or Student distributions. We suggest using an APARCH model based on the skewed Student distribution to fully take into …

Persistent link: https://www.econbiz.de/10005065352