Scaling conditional tail probability and quantile estimators

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dc.contributor.author Cotter, John
dc.date.accessioned 2009-11-18T16:33:34Z
dc.date.available 2009-11-18T16:33:34Z
dc.date.copyright Incisive Media, Plc Apr 2009 en
dc.date.issued 2009-04
dc.identifier.citation Risk en
dc.identifier.issn 0952-8776
dc.identifier.uri http://hdl.handle.net/10197/1619
dc.description.abstract In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade, from value-at-risk measures to coherent measures such as expected shortfall. These measures allow an investor to determine their risk profile accounting for losses (quantiles) at a given likelihood (probability) and a given time frame (holding period). The authors refer to this framework as conditional extreme value theory (EVT). To begin, they use an AR(1)-Garch(1,1) specification with student-t innovations to model the conditional distribution. They then apply EVT to the conditional filtered series to model the tail returns, allowing them to examine low-probability (out-of-sample) events for single-period horizons. Scaling is important as it allows one to overcome the lack of non-overlapping returns for low-frequency horizons. The approach illustrates the estimation bias that exists when assuming normality is minimized for the conditional EVT approach, both for single-period and multi-period settings (using the respective scaling laws). en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Risk Magazine Limited en
dc.subject Probability en
dc.subject Risk assessment en
dc.subject Losses en
dc.subject Investment policy en
dc.subject Estimating techniques en
dc.subject.lcsh Risk assessment en
dc.subject.lcsh Extreme value theory en
dc.subject.lcsh Estimation theory en
dc.title Scaling conditional tail probability and quantile estimators en
dc.type Journal Article en
dc.internal.authorurl John Cotter (web page) 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://proquest.umi.com/pqdlink?did=1682723961&sid=1&Fmt=2&clientId=13279&RQT=309&VName=PQD en
dc.status Peer reviewed en
dc.identifier.volume 22 en
dc.identifier.issue 4 en
dc.identifier.startpage 92 en
dc.identifier.endpage 96 en
dc.neeo.contributor Cotter|John|aut|UCD0043 en


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