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Grigoletto, Matteo and Lisi, Francesco (2007) Value-at-Risk prediction by higher moment dynamics. [Working Paper] WORKING PAPER SERIES, 11/2007 . , PADOVA (Inedito)

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Abstract (english)

In this paper the prediction of Value-at-Risk by means of models accounting for higher moment dynamics is studied. We consider the GARCHDSK model, which allows for dynamic skewness and kurtosis, and compare its performance with that of several widely adopted models. The analysis is based on the study of sequences of (long and short) VaR violations, for which the hypotheses of absence of autocorrelation and of correct coverage rates are assessed. Both in-sample and out-of-sample results are investigated.

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EPrint type:Working Paper
Anno di Pubblicazione:November 2007
Key Words:VaR prediction, GARCH models, Skewness, Time-varying skewness, Time-varying kurtosis, Financial returns.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7103
Depositato il:11 Sep 2014 13:02
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