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Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting

Lucas, Andre - 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 RiskMetrics(TM) approach. We update parameters using the score of the forecasting distribution. This allows the parameter...

Persistent link: https://www.econbiz.de/10013009839

Volatility Forecasting in Futures Markets : A Statistical and Value-at-Risk Evaluation

Athanasiadis, Theo - 2015

of the S&P 500 producing smaller errors. More importantly, we find that improving the volatility forecast can generate …

Persistent link: https://www.econbiz.de/10013011472

Evaluating Value-at-Risk Forecasts : A New Set of Multivariate Backtests

Wied, Dominik - 2015

We propose two new tests for detecting clustering in multivariate Value-at-Risk (VaR) forecasts. First, we consider CUSUM-tests to detect first-order instationarities in the matrix of VaR-violations. Second, we propose x<sup>2</sup>-tests for detecting cross-sectional and serial dependence in the...

Persistent link: https://www.econbiz.de/10013024527

Forecasting Bitcoin Risk Measures : A Robust Approach

Trucíos, Carlos - 2018

Over the last few years, Bitcoin and other cryptocurrencies have attracted the interest of many investors, practitioners and researchers. However, little attention has been paid to the predictability of their risk measures. In this paper, we compare the predictability of the one-step-ahead...

Persistent link: https://www.econbiz.de/10012917666

Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting

Lucas, Andre - 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 RiskMetrics approach. We update parameters using the score of the forecasting distribution. This allows the parameter dynamics to...

Persistent link: https://www.econbiz.de/10013033118

A New Set of Improved Value-at-Risk Backtests

Ziggel, Daniel - 2014

We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting procedures. Our new test of unconditional coverage can be used for both one-sided and two-sided testing, which leads to a significantly increased power. Second, we stress the...

Persistent link: https://www.econbiz.de/10013063161

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

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

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10011377261

Four essays on probabilistic forecasting in econometrics

Krüger, Fabian - 2013

probabilistischer Prognosen ist insbesondere dann nützlich, wenn die Prognose an mehrere Nutzer kommuniziert wird. Durch Angabe einer …: Erstens, was zeichnet eine gute probabilistische Prognose aus? Zweitens, wie kann eine solche Prognose erstellt werden? Grob … und technische Aspekte der Evaluation dieser Prognose. Gleichzeitig ist der binäre Fall praxisrelevant; beispielsweise …

Persistent link: https://www.econbiz.de/10010243223