Vai ai contenuti. | Spostati sulla navigazione | Spostati sulla ricerca | Vai al menu | Contatti | Accessibilità

| Crea un account

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

Full text disponibile come:

Documento PDF

Abstract (inglese)

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.

Statistiche Download - Aggiungi a RefWorks
Tipo di EPrint:Working Paper
Anno di Pubblicazione:Novembre 2007
Parole chiave (italiano / inglese):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 Set 2014 13:02
Simple Metadata
Full Metadata
EndNote Format

Download statistics

Solo per lo Staff dell Archivio: Modifica questo record