Estimation and Testing of Portfolio Value-at-Risk Based on L-Comoment Matrices

This study employs L-comoments introduced by Serfling and Xiao (2007) into portfolio Value-at-Risk estimation through two models: the Cornish-Fisher expansion (Draper and Tierney 1973) and modified VaR (Zangari 1996). Backtesting outcomes indicate that modified VaR outperforms and L-comoments give better estimates of portfolio skewness and excess kurtosis than do classical central moments in modeling heavy-tailed distributions

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Year of publication:	2009
Authors:	Liu, Wei-Han
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 24, 2009 erstellt
Other identifiers:	10.2139/ssrn.1460771 [DOI]
Classification:	c46 ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013156803