This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

Multidimensional Value at Risk (MVaR) generalises VaR in a natural way as the intersection of univariate VaRs. We reduce the dimensionality of MVaRs which allows for adapting the techniques and applications developed for VaR to MVaR. As an illustration, we employ VaR forecasting and evaluation...

We define the Multidimensional Value at Risk (MVaR) as a natural generalization of VaR. This generalization makes a number of important applications possible. For example, many techniques developed for VaR can be applied to MVaR directly. As an illustration, we employ VaR forecasting and...

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...

In this work, we propose an ARMA(1,1)-GARCH(1,1) model with standard classical tempered stable (CTS) innovations for historical daily returns of 29 selected stocks. The non-Gaussian nature of the innovations captures the fat-tail property observed in data. The dependency between different assets...

This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...