Varying the VaR for unconditional and conditional environments

DSpace/Manakin Repository

Show simple item record

dc.contributor.author Cotter, John
dc.date.accessioned 2009-11-18T16:09:18Z
dc.date.available 2009-11-18T16:09:18Z
dc.date.copyright 2007 Elsevier Ltd en
dc.date.issued 2007-12
dc.identifier.citation Journal of International Money and Finance en
dc.identifier.issn 0261-5606
dc.identifier.uri http://hdl.handle.net/10197/1618
dc.description.abstract Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures underpinned by extreme value theory are statistically robust explicitly allowing for fat-tailed densities. Conditional tail estimates accounting for volatility clustering are obtained by adjusting the unconditional extreme value procedure with GARCH filtered returns. The conditional modelling results in iid returns allowing for the use of a simple and efficient multi-period extreme value scaling law. The paper examines the properties of these distinct conditional and unconditional trading models. The paper finds that the biases inherent in unconditional single and multi-period estimates assuming normality extend to the conditional setting. en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Elsevier Science en
dc.subject Value at Risk en
dc.subject Extreme value theory en
dc.subject GARCH filter en
dc.subject Conditional risk en
dc.subject.classification G1 en
dc.subject.classification G10 en
dc.subject.lcsh Risk--Econometric models en
dc.subject.lcsh Extreme value theory en
dc.subject.lcsh Econometric models en
dc.title Varying the VaR for unconditional and conditional environments en
dc.type Journal Article en
dc.internal.authorurl John Cotter en
dc.internal.authorurl http://www.ucd.ie/research/people/business/drjohncotter/ en
dc.internal.authorid UCD0043 en
dc.internal.availability Full text not available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://dx.doi.org/10.1016/j.jimonfin.2007.06.011 en
dc.status Peer reviewed en
dc.identifier.volume 26 en
dc.identifier.issue 8 en
dc.identifier.startpage 1338 en
dc.identifier.endpage 1354 en
dc.identifier.doi 10.1016/j.jimonfin.2007.06.011
dc.neeo.contributor Cotter|John|aut|UCD0043 en


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record

This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.

If you are a publisher or author and have copyright concerns for any item, please email research.repository@ucd.ie and the item will be withdrawn immediately. The author or person responsible for depositing the article will be contacted within one business day.

Search Research Repository


Advanced Search

Browse