- Tytuł:
- Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology
- Autorzy:
- Ratuszny, Ewa
- Powiązania:
- https://bibliotekanauki.pl/articles/483341.pdf
- Data publikacji:
- 2013
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
Robust estimation
quantile regression
CAViaR
ARMA-GARCH models - Opis:
- In the paper we present robust estimation methods based on bounded innovation propagation filters and quantile regression, applied to measure Value at Risk. To illustrate advantage connected with the robust methods, we compare VaR forecasts of several group of instruments in the period of high uncertainty on the financial markets with the ones modelled using traditional quasi-likelihood estimation. For comparative purpose we use three groups of tests i.e. based on Bernoulli trial models, on decision making aspect, and on the expected shortfall.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2013, 5, 1; 35-63
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł