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Robust backtesting tests for value-at-risk models
Escanciano, J. Carlos; Olmo, Jose - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 132-161
Persistent link: https://www.econbiz.de/10009125151
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Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights
Pei, Pei - 2011
framework inapplicable. And it proposes a general theory to quantify estimation risk applicable to the present problem and …This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically … multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in …
Persistent link: https://www.econbiz.de/10013132320
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Pitfalls in Backtesting Historical Simulation VAR Models
Escanciano, Juan Carlos - 2012
Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...
Persistent link: https://www.econbiz.de/10013108779
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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...
Persistent link: https://www.econbiz.de/10011990919
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Advancing Financial Risk Estimates by Incorporating GARCH Into Value at Risk
Oskay, Bora - 2018
This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...
Persistent link: https://www.econbiz.de/10012925488
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Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models
Conrad, Christian; Mammen, Enno - 2008
kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …
Persistent link: https://www.econbiz.de/10003747376
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Testing for Conditional Heteroscedasticity in the Components of Inflation
Broto, Carmen - 2008
In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may...
Persistent link: https://www.econbiz.de/10012724002
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …
Persistent link: https://www.econbiz.de/10003636008
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Backtesting value-at-risk using forecasts for multiple horizons, a comment on the forecast rationality tests of A. J. Patton A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - 2011
Persistent link: https://www.econbiz.de/10009720750
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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … estimation risk or misspecification risk. …
Persistent link: https://www.econbiz.de/10010344866