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This article looks at the theory and empirics of extremal quantiles in economics, in particular value-at-risk. The theory of extremes has gone through remarkable developments and produced valuable empirical findings in the last 20 years. In the discussion, we put a particular focus on...
Persistent link: https://www.econbiz.de/10014053485
Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...
Persistent link: https://www.econbiz.de/10012966239
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...
Persistent link: https://www.econbiz.de/10013020592
We present a new technique for obtaining a positive definite (PD) correlation matrix from a stressed target matrix within the context of Advanced Stressed Value at Risk, (cf. Dash ). The technique uses the spherical decomposition and a “nearest neighbor” technique. The advantage is that...
Persistent link: https://www.econbiz.de/10012987073
This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...
Persistent link: https://www.econbiz.de/10013105447
We propose a novel ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods. The ranking model develops a unified framework which penalizes excessive capital allocation, autocorrelation of violations...
Persistent link: https://www.econbiz.de/10013146585
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10013155427
This paper reports on the results of an extensive simulation study that compares three methods of estimating the value at risk of stock portfolios. Simulating returns from a wide range of data generating processes, we found that the peak-over-threshold (POT) method outperforms the transformed...
Persistent link: https://www.econbiz.de/10013091559
Financial experts assume that measures the risk of financial asset returns generally have a normal distribution. Reality often shows asset returns are not normally distributed, so that the constraints and make it difficult to estimate the risk of taking the measurements. For it is necessary to...
Persistent link: https://www.econbiz.de/10013056260
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679