Narrow search
Showing 1 - 10 of 352
Cover Image
Value at risk models in finance
Engle, Robert F.; Manganelli, Simone - 2001
the Historical Simulation method and its variants can be considered as special cases of the CAViaR framework developed by … value theory into the CAViaR model. The second one concerns the estimation of the expected shortfall (the expected loss … estimated quantiles to the true ones. The results show that CAViaR models perform best with heavy-tailed DGP. …
Persistent link: https://www.econbiz.de/10011604121
Cover Image
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008
Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic … applications. Here we extend CAViaR models to permit joint modeling of multiple quantiles, Multi-Quantile (MQ) CAViaR. We apply our … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …
Persistent link: https://www.econbiz.de/10011605003
Cover Image
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2015
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...
Persistent link: https://www.econbiz.de/10011605859
Cover Image
Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment
de Sola Perea, Maite; Dunne, Peter G.; Puhl, Martin; … - 2018
The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016, 2017) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses...
Persistent link: https://www.econbiz.de/10011984848
Cover Image
Comparison of semi-parametric and benchmark value-at-risk models in several time periods with different volatility levels
Buczyński, Mateusz; Chlebus, Marcin - In: e-Finanse: Financial Internet Quarterly 14 (2018) 2, pp. 67-82
-GARCH(1,1), CAViaR and historical simulation models in periods with contrasting volatility trends (increasing, constantly high … periods. The results show as well that the CAViaR model forecasts were less appropriate in the increasing volatility period …
Persistent link: https://www.econbiz.de/10012011844
Cover Image
Applications of quantile regression to estimation and detection of some tail characteristics
Hsu, Ya-Hui - 2010
Conditional Autoregressive Value at Risk (CAViaR) models proposed by Engle and Manganelli (2004) based on quantile regression …
Persistent link: https://www.econbiz.de/10009477869
Cover Image
Value-at-risk predictive performance: A comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets
Serrano Bautista, Ramona; Núñez Mora, José Antonio - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 197-221
-Student-t distributional assumptions and compared with the predictive performance of the Conditional Autoregressive Value-at-Risk (CaViaR … robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods …
Persistent link: https://www.econbiz.de/10013192202
Cover Image
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
Cover Image
Do economic news releases affect tail risk? : evidence from an emerging market
Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: Finance research letters 40 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012819818
Cover Image
On the factors of Bitcoin's value at risk
Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31
This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1% VaR. For the 5% VaR, quantity variables, such as...
Persistent link: https://www.econbiz.de/10012798684