HYVAR (Hybrid VAR) : HVAR Mixed with MC-HVAR

We construct “Hybrid Value at Risk” (HYVAR) that is an arbitrary mixture of Historical VAR and Monte Carlo VAR. The procedure is capable of retaining both the correlation matrix of the original time series and also jumps/‘fat tails'. For this reason HYVAR provides more realistic scenarios, and as many as desired. The main idea is to use a “mixing angle” to mix HVAR with Monte Carlo HVAR

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Year of publication:	2017
Authors:	Dash, Jan
Other Persons:	Bondioli, Mario (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	VAR-Modell \| VAR model \| Theorie \| Theory

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 11, 2016 erstellt
Other identifiers:	10.2139/ssrn.2808163 [DOI]
Classification:	C63 - Computational Techniques ; f65 ; G01 - Financial Crises ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012968821