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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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Improved estimation of poisson rate distributions through a multi-mode survey design
Hitczenko, Marcin - 2021
dilemma. I then use a simulation study to show how and under what conditions a hybrid survey design can improve efficiency of …
Persistent link: https://www.econbiz.de/10012425355
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Counterfactual distributions in bivariate models : a conditional quantile approach
Alejo, Javier; Badaracco, Nicolás - In: Econometrics : open access journal 3 (2015) 4, pp. 719-732
This paper proposes a methodology to incorporate bivariate models in numerical computations of counterfactual distributions. The proposal is to extend the works of Machado and Mata (2005) and Melly (2005) using the grid method to generate pairs of random variables. This contribution allows...
Persistent link: https://www.econbiz.de/10011411683
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On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function : the case of unknown parameters
Capasso, Marco; Alessi, Lucia; Barigozzi, Matteo; … - 2007
This note discusses some problems possibly arising when approximating via MonteCarlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to reestimate unknown parameters on each simulated Monte-Carlo sample - and...
Persistent link: https://www.econbiz.de/10003746039
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Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory
Doko Tchatoka, Firmin - 2017
phenomenon typically disappears. We present simulation evidence which confirms the finite-sample theory. The theoretical results …
Persistent link: https://www.econbiz.de/10012966708
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Estimating and Testing for Multiple Distributional Structural Breaks via a Characteristic Function Approach
Fu, Zhonghao - 2020
structural breaks, which is asymptotically more powerful than the nonparametric-based tests for structural breaks. Simulation …
Persistent link: https://www.econbiz.de/10012838880
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Models for heavy-tailed asset returns
Borak, Szymon; Misiorek, Adam; Weron, Rafał - 2010
Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...
Persistent link: https://www.econbiz.de/10008663369
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Monte Carlo-based tail exponent estimator
Barunik, Jozef; Vacha, Lukas - 2010
In this paper we study the finite sample behavior of the Hill estimator under α-stable distributions. Using large Monte Carlo simulations we show that the Hill estimator overestimates the true tail exponent and can hardly be used on samples with small length. Utilizing our results, we introduce...
Persistent link: https://www.econbiz.de/10003958725
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Minimum distance estimation of possibly non-invertible moving average models
Gospodinov, Nikolaj; Ng, Serena - 2013
the cumulants on the model parameters is analytically intractable, we consider simulation-based estimators with two … accommodate a large class of distributions with non-Gaussian features. The proposed simulation estimators are also asymptotically …
Persistent link: https://www.econbiz.de/10010201380
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A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap
Jiang, Liyuan - 2018
In this paper, we develop a new nonparametric approach for estimating the risk-neutral density of asset price and reformulate its estimation into a double-constrained optimization problem. We implement our approach in R and evaluate it using the S&P 500 market option prices from 1996 to 2015. A...
Persistent link: https://www.econbiz.de/10012908839