Can L-moments beat central moments in modelling risk? An empirical analysis
This article applies a new statistical moment, Trimmed L-comoment, in modelling Expected Shortfall (<italic>ES</italic>) and exploits an empirical study on China's stock markets. In comparison with existing models, out-of-sample forecasts and backtests indicate superior accuracy and precision for the models based on Trimmed L-comoments, especially to those based on central moments.
Year of publication: |
2012
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Authors: | Qin, Xiao |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 19.2012, 15, p. 1441-1447
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Publisher: |
Taylor & Francis Journals |
Saved in:
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