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A fast, accurate method for value-at-risk and expected shortfall


Krause, Jochen; Paolella, Marc (2014). A fast, accurate method for value-at-risk and expected shortfall. Econometrics, 2(2):98-122.

Abstract

A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually outperforms highly competitive models. Most remarkably, this is the case also for sample sizes as small as 250.

Abstract

A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually outperforms highly competitive models. Most remarkably, this is the case also for sample sizes as small as 250.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:25 June 2014
Deposited On:09 Mar 2015 13:31
Last Modified:08 Dec 2017 12:30
Publisher:MDPI Publishing
ISSN:2225-1146
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.3390/econometrics2020098
Other Identification Number:merlin-id:11805

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