Artifactual unit root behavior of value at risk (VaR)

DOI10.1016/J.SPL.2016.04.006zbMath1386.91171OpenAlexW2344323866MaRDI QIDQ297153

Ngai Hang Chan, Tony Sit

Publication date: 24 June 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.04.006

zbMATH Keywords

unit rootquantilesvalue-at-risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Uses Software

• CAViaR
• RiskMetrics

Cites Work

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• Quantiles, expectiles and splines
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Simulation Techniques in Financial Risk Management
• Unit Root Quantile Autoregression Inference
• Quantile Autoregression

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