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https://hdl.handle.net/20.500.14279/14275
Τίτλος: | A conditional-SGT-VaR approach with alternative GARCH models | Συγγραφείς: | Bali, Turan G. Theodossiou, Panayiotis |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Conditional value at risk;Expected shortfall;GARCH models;Skewed generalized t distribution | Ημερομηνία Έκδοσης: | 1-Απρ-2007 | Πηγή: | Annals of Operations Research Volume 151, Issue 1, April 2007, Pages 241-267 | Περιοδικό: | Annals of Operations Research | Περίληψη: | This paper proposes a conditional technique for the estimation of VaR and expected shortfall measures based on the skewed generalized t (SGT) distribution. The estimation of the conditional mean and conditional variance of returns is based on ten popular variations of the GARCH model. The results indicate that the TS-GARCH and EGARCH models have the best overall performance. The remaining GARCH specifications, except in a few cases, produce acceptable results. An unconditional SGT-VaR performs well on an in-sample evaluation and fails the tests on an out-of-sample evaluation. The latter indicates the need to incorporate time-varying mean and volatility estimates in the computation of VaR and expected shortfall measures. © 2006 Springer Science+Business Media, LLC. | URI: | https://hdl.handle.net/20.500.14279/14275 | ISSN: | 2-s2.0-33847266802 https://api.elsevier.com/content/abstract/scopus_id/33847266802 2-s2.0-33847266802 2-s2.0-33847266802 02545330 https://api.elsevier.com/content/abstract/scopus_id/33847266802 2-s2.0-33847266802 https://api.elsevier.com/content/abstract/scopus_id/33847266802 2-s2.0-33847266802 https://api.elsevier.com/content/abstract/scopus_id/33847266802 |
DOI: | 10.1007/s10479-006-0118-4 | Type: | Conference Papers | Affiliation: | Aristotle University of Thessaloniki Rutgers University Baruch College |
Εμφανίζεται στις συλλογές: | Δημοσιεύσεις σε συνέδρια /Conference papers or poster or presentation |
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