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Estimation of Portfolio Return and Value at Risk Using a Class of Gaussian Mixture Distributions

Tan, Kangrong - 2012

This paper deals with the estimation of portfolio returns and Value at Risk (VaR), by using a class of Gaussian mixture …

Persistent link: https://www.econbiz.de/10013113739

Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

in the estimation of 1-day and 10-day VaR forecasts is performed in comparison with the historical simulation, filtered …

Persistent link: https://www.econbiz.de/10011731521

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19

number of very important processes in finance. We then obtain an estimation for the distribution of hedging error by …

Persistent link: https://www.econbiz.de/10012484861

Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk

Trucíos, Carlos - 2017

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on the forecast of the conditional variances, covariances and correlations of financial returns. Although the decisions are based on forecasts covariance matrix little is known...

Persistent link: https://www.econbiz.de/10012956168

Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

We present a simple new methodology to allow for time-variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. It exploits the link between exponentially weighted moving average and integrated dynamics of score driven time varying parameter...

Persistent link: https://www.econbiz.de/10010384110

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications

Ardia, David - 2009

This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …

Persistent link: https://www.econbiz.de/10013156202

A novel robust method for estimating the covariance matrix of financial returns with applications to risk management

Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro - In: Financial innovation : FIN 10 (2024), pp. 1-28

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...

Persistent link: https://www.econbiz.de/10015361657

The Analysis of Value at Risk for Precious Metal Returns by Applying Extreme Value Theory, Copula Model and GARCH Model

Khemawanit, Kritsana - 2016

ARMA-GARCH equations based on the student t distribution. Second, we extract the filtered residuals from such estimation …

Persistent link: https://www.econbiz.de/10012976965

Score driven exponentially weighted moving averages and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2015

A simple methodology is presented for modeling time variation in volatilities and other higher-order moments using a recursive updating scheme similar to the familiar RiskMetricsTM approach. We update parameters using the score of the forecasting distribution. This allows the parameter dynamics...

Persistent link: https://www.econbiz.de/10011332948