Value-at-Risk Prediction: A Comparison of Alternative Strategies
From MaRDI portal
Publication:5226705
DOI10.1093/jjfinec/nbj002zbMath1418.91609OpenAlexW1989899182WikidataQ56137976 ScholiaQ56137976MaRDI QIDQ5226705
Marc S. Paolella, Keith Kuester, Stefan Mittnik
Publication date: 1 August 2019
Published in: Journal of Financial Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/jjfinec/nbj002
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
Related Items
Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation ⋮ Multivariate time-varying \(G\)-\(H\) copula GARCH model and its application in the financial market risk measurement ⋮ Model selection based on value-at-risk backtesting approach for GARCH-type models ⋮ Model averaging for semiparametric varying coefficient quantile regression models ⋮ Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid ⋮ Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models ⋮ How does the choice of Value-at-Risk estimator influence asset allocation decisions? ⋮ Systemic risk measurement: bucketing global systemically important banks ⋮ COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES ⋮ Adjusted extreme conditional quantile autoregression with application to risk measurement ⋮ Extreme downside risk and market turbulence ⋮ Verification of internal risk measure estimates ⋮ Backtesting extreme value theory models of expected shortfall ⋮ Skewed Kotz distribution with application to financial stock returns ⋮ High frequency-based quantile forecast and combination: an application to oil market ⋮ Where does the tail begin? An approach based on scoring rules
