In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

The impact of news of the Moscow and New York stock market exchanges on the <p> returns and volatilities of the Baltic state stock market indices is studied using daily <p> return data for the period of 2000-2005. A nonlinear time series model that accounts <p> for asymmetries in the conditional mean and...</p></p></p>

I was born in Chicago in 1927, the only child of Morris and Mildred Markowitz who owned a small grocery store. We lived in a nice apartment, always had enough to eat, and I had my own room. I never was aware of the Great Depression.

Prize Lecture to the memory of Alfred Nobel, December 7, 1990.

I was born in Boston, Massachusetts on May 16, 1923, the only child of Joel and Sylvia Miller. My father, an attorney, was a graduate of Harvard University (A.B. 1916) and in that one respect, at least, I followed in his footsteps, entering Harvard in 1940 and graduating in 1943 (A.B., magna cum...

Interview with Professor William Sharpe at the 1st Meeting of Laureates in Economic Sciences in Lindau, Germany, September 1-4, 2004. Interviewer is freelance journalist Marika Griehsel.

I was born on June 16, 1934 in Boston, Massachusetts. At that time my parents had completed their undergraduate educations - my father in English literature, my mother in science. My father was then employed at Harvard University, working in the placement office.