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fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias …-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … long and short positions. Our aim is to utilize the advantages of this model, but still use the bootstrap resampling method …
Persistent link: https://www.econbiz.de/10011632622
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …
Persistent link: https://www.econbiz.de/10011301159
-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …
Persistent link: https://www.econbiz.de/10013115577
with Sharpe's ratio, offering an approach to point and confidence interval estimation which employs bootstrap resampling …The Sharpe ratio is a common financial performance measure that represents the optimal risk versus return of an … issues surrounding its statistical properties. Given the importance of obtaining robust determinations of risk versus return …
Persistent link: https://www.econbiz.de/10009536151
situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk … ; Naive diversification ; Out-ofsample performance ; Risk function ; Shrinkage estimation …In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …
Persistent link: https://www.econbiz.de/10008939385
Persistent link: https://www.econbiz.de/10012630868
We investigate the impact of shrinkage estimation techniques for the moments of asset returns on risk-parity portfolios …. In contrast to mean-variance portfolios, the risk contributions of individual assets in risk-parity portfolios are fixed … a priori. This additional restriction stabilizes empirical portfolio weights in time. We show that the marginal risk …
Persistent link: https://www.econbiz.de/10013313921
Extensive research has been conducted on the properties of quadratic forms in normal random variables, represented by the symbol Q here. However, analytical results on the square root of the quadratic form, √Q, are limited. The square root of the quadratic form is, for example, used in finance...
Persistent link: https://www.econbiz.de/10014362255
In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...
Persistent link: https://www.econbiz.de/10012732978