Conditional VaR estimation using Pearson's type IV distribution

DOI10.1016/j.ejor.2007.07.021zbMath1149.90069OpenAlexW2052817541MaRDI QIDQ933511

Malay Bhattacharyya, Abhishek Chaudhary, Gaurav Yadav

Publication date: 21 July 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.07.021

zbMATH Keywords

GARCHrisk managementconditional VaRPearson's type IV distribution

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

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Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets ⋮ Using parametric classification trees for model selection with applications to financial risk management ⋮ A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation ⋮ Two-step methods in VaR prediction and the importance of fat tails

Uses Software

• FinTS

Cites Work

• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• ARCH modeling in finance. A review of the theory and empirical evidence
• ARCH models and financial applications
• Statistical methods in finance
• Hyperbolic distributions in finance
• A new family of power transformations to improve normality or symmetry
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• A new approach to analysing non-normal quality data with application to process capability analysis
• Autoregressive Conditional Density Estimation
• Gram-Charlier densities.
• Handbook of econometrics. Vol. 4
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