Approximation methods for multiple period Value at Risk and Expected Shortfall prediction

DOI10.1080/14697688.2015.1117647zbMath1468.91194OpenAlexW2339070221MaRDI QIDQ5001182

Carl Lönnbark

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1117647

zbMATH Keywords

kurtosisskewnessdelta methodrisk managementcapital adequacyGJR-GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (1)

Backtesting extreme value theory models of expected shortfall

Uses Software

• CAViaR
• Dowd

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• Interval forecasts and parameter uncertainty
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Variable selection, estimation and inference for multi-period forecasting problems
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Bootstrap prediction for returns and volatilities in GARCH models
• Prediction in dynamic models with time-dependent conditional variances
• Properties of moments of a family of GARCH processes
• Generalized autoregressive conditional heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.
• Financial Data and the Skewed Generalized T Distribution
• Estimation of multiple period expected shortfall and median shortfall for risk management
• Temporal Aggregation of Garch Processes
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Autoregressive Conditional Density Estimation
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• The adjustment of prediction intervals to account for errors in parameter estimation
• The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
• Quadratic ARCH Models
• Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
• Variance of the CTE Estimator
• The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal
• Gram-Charlier densities.

This page was built for publication: Approximation methods for multiple period Value at Risk and Expected Shortfall prediction