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A New Approach to Backtesting and Risk Model Selection

Corbetta, Jacopo - 2018

propose two simple hypothesis tests based only on results of probability theory without requiring any approximation or …

Persistent link: https://www.econbiz.de/10012936007

Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Backtesting and estimation error : value-at-risk overviolation rate

Tsafack, Georges; Cataldo, James M. - In: Empirical economics : a quarterly journal of the … 61 (2021) 3, pp. 1351-1396

Persistent link: https://www.econbiz.de/10012616952

Pitfalls in Backtesting Historical Simulation VAR Models

Escanciano, Juan Carlos - 2012

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

Persistent link: https://www.econbiz.de/10013108779

Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

in the estimation of 1-day and 10-day VaR forecasts is performed in comparison with the historical simulation, filtered …

Persistent link: https://www.econbiz.de/10011731521

A novel robust method for estimating the covariance matrix of financial returns with applications to risk management

Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro - In: Financial innovation : FIN 10 (2024), pp. 1-28

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...

Persistent link: https://www.econbiz.de/10015361657

Misspecification Testing in a Class of Conditional Distributional Models

Rothe, Christoph - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10013110184

Comparing predictive accuracy under long memory : with an application to volatility forecasting

Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016

This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...

Persistent link: https://www.econbiz.de/10011430242

Incorporating Higher Moments into Value at Risk Estimation

Polanski, Arnold; Stoja, Evarist - 2020

higher moments or assumes them constant. In this paper, we propose a new simple approach to estimation of a portfolio VaR. We …

Persistent link: https://www.econbiz.de/10014213990

Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications

Ardia, David - 2009

This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …

Persistent link: https://www.econbiz.de/10013156202