Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

DOI10.1016/S0378-4371(01)00310-7zbMath0974.91031arXivcond-mat/0103107MaRDI QIDQ5947894

Szilárd Pafka, Imre Kondor

Publication date: 23 October 2001

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0103107

zbMATH Keywords

distribution function

Mathematics Subject Classification ID

Related Items (7)

Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches ⋮ Volatility, risk modeling and utility ⋮ A generalized error distribution copula-based method for portfolios risk assessment ⋮ Accounting for risk of non linear portfolios. A novel Fourier approach ⋮ Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios ⋮ VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors ⋮ Estimation methods for expected shortfall

Cites Work

• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model

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