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Partial likelihood-based scoring rules for evaluating density forecasts in tails
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...
Persistent link: https://www.econbiz.de/10011374395
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Incorporating Higher Moments into Value at Risk Estimation
Polanski, Arnold; Stoja, Evarist - 2020
Value-at-Risk (VaR) forecasting generally relies on a parametric density function of portfolio returns that ignores higher moments or assumes them constant. In this paper, we propose a new simple approach to estimation of a portfolio VaR. We employ the Gram-Charlier expansion (GCE) augmenting...
Persistent link: https://www.econbiz.de/10014213990
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A New Approach to Backtesting and Risk Model Selection
Corbetta, Jacopo - 2018
Backtesting risk measures represents a challenge and complex methods are often required. In this paper, we propose a new framework for backtesting that can be applied to every law invariant risk measures. We base our approach on the formalization of the concept of level of coverage associated...
Persistent link: https://www.econbiz.de/10012936007
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679
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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
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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
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On the Role of the Estimation Error in Prediction of Expected Shortfall
Lönnbark, Carl - 2012
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...
Persistent link: https://www.econbiz.de/10014165707
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Alternative Tests for Correct Specification of Conditional Predictive Densities
Rossi, Barbara - 2018
We propose a new framework for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive...
Persistent link: https://www.econbiz.de/10012938449
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Forecasting European GDP using self-exciting threshold autoregressive models : a warning
Crespo Cuaresma, Jesús - 2000
A two-regime self-exciting threshold autoregressive process is estimated for quarterly aggregate GDP of the fifteen countries that compose the European Union, and the forecasts from this nonlinear model are compared, by means of a Monte Carlo simulation, with those from a simple autoregressive...
Persistent link: https://www.econbiz.de/10009714284
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Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016
This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits … the forecast objective to forecast error loss differentials. The nature of this transmission mainly depends on the (un … comparison of these robust statistics. As an empirical application, we conduct forecast comparison tests for the realized …
Persistent link: https://www.econbiz.de/10011430242