FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2614865963> ?p ?o ?g. }

• W2614865963 abstract "Returns in financial assets display consistent excess kurtosis and skewness, implying the presence of large fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both long and short positions. Our aim is to utilize the advantages of this model, but still use the bootstrap resampling method to accurate for the tendency of the model tomiscalculate the VaR. Empirical results indicate that the bias-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the proposed probability. Additionally, allowing asymmetry in the conditional variance using the EGARCH model with normal distribution instead of GARCH improves the performance of the bias-correction method in forecasting the VaR for almost all considered indices. Moreover, the bias-corrected n-EGARCH model performs better than the simple t-EGARCH model. Thus, it seems that this model can take account of both the asymmetry in the conditional variance and leptokurtosis in returns distribution. However, we find that the superiority of the bias-corrected n-EGARCH model over the t-EGARCH model is not completely confirmed for short positions based on the censored likelihood scoring rule." @default.
• W2614865963 created "2017-05-26" @default.
• W2614865963 creator A5071841268 @default.
• W2614865963 creator A5085088004 @default.
• W2614865963 date "2017-03-31" @default.
• W2614865963 modified "2023-10-03" @default.
• W2614865963 title "Improving Value-at-Risk Estimation from the Normal EGARCH Model" @default.
• W2614865963 cites W1553545751 @default.
• W2614865963 cites W1566153089 @default.
• W2614865963 cites W1965300261 @default.
• W2614865963 cites W1977970167 @default.
• W2614865963 cites W1980616856 @default.
• W2614865963 cites W1985877738 @default.
• W2614865963 cites W1999814123 @default.
• W2614865963 cites W1999996900 @default.
• W2614865963 cites W2005424182 @default.
• W2614865963 cites W2038389749 @default.
• W2614865963 cites W2061160212 @default.
• W2614865963 cites W2087210695 @default.
• W2614865963 cites W2090637028 @default.
• W2614865963 cites W2096748627 @default.
• W2614865963 cites W2117447427 @default.
• W2614865963 cites W2134752891 @default.
• W2614865963 cites W2139395482 @default.
• W2614865963 cites W2147014038 @default.
• W2614865963 cites W2154662174 @default.
• W2614865963 cites W2156908840 @default.
• W2614865963 cites W2166572063 @default.
• W2614865963 cites W2263098707 @default.
• W2614865963 cites W3122046970 @default.
• W2614865963 cites W3123118666 @default.
• W2614865963 cites W3124100928 @default.
• W2614865963 doi "https://doi.org/10.5709/ce.1897-9254.230" @default.
• W2614865963 hasPublicationYear "2017" @default.
• W2614865963 type Work @default.
• W2614865963 sameAs 2614865963 @default.
• W2614865963 citedByCount "1" @default.
• W2614865963 countsByYear W26148659632019 @default.
• W2614865963 crossrefType "journal-article" @default.
• W2614865963 hasAuthorship W2614865963A5071841268 @default.
• W2614865963 hasAuthorship W2614865963A5085088004 @default.
• W2614865963 hasBestOaLocation W26148659631 @default.
• W2614865963 hasConcept C105795698 @default.
• W2614865963 hasConcept C121332964 @default.
• W2614865963 hasConcept C121955636 @default.
• W2614865963 hasConcept C122342681 @default.
• W2614865963 hasConcept C149782125 @default.
• W2614865963 hasConcept C150921843 @default.
• W2614865963 hasConcept C162324750 @default.
• W2614865963 hasConcept C163716315 @default.
• W2614865963 hasConcept C166963901 @default.
• W2614865963 hasConcept C187736073 @default.
• W2614865963 hasConcept C196083921 @default.
• W2614865963 hasConcept C23922673 @default.
• W2614865963 hasConcept C32896092 @default.
• W2614865963 hasConcept C33923547 @default.
• W2614865963 hasConcept C62520636 @default.
• W2614865963 hasConcept C91602232 @default.
• W2614865963 hasConcept C94128290 @default.
• W2614865963 hasConceptScore W2614865963C105795698 @default.
• W2614865963 hasConceptScore W2614865963C121332964 @default.
• W2614865963 hasConceptScore W2614865963C121955636 @default.
• W2614865963 hasConceptScore W2614865963C122342681 @default.
• W2614865963 hasConceptScore W2614865963C149782125 @default.
• W2614865963 hasConceptScore W2614865963C150921843 @default.
• W2614865963 hasConceptScore W2614865963C162324750 @default.
• W2614865963 hasConceptScore W2614865963C163716315 @default.
• W2614865963 hasConceptScore W2614865963C166963901 @default.
• W2614865963 hasConceptScore W2614865963C187736073 @default.
• W2614865963 hasConceptScore W2614865963C196083921 @default.
• W2614865963 hasConceptScore W2614865963C23922673 @default.
• W2614865963 hasConceptScore W2614865963C32896092 @default.
• W2614865963 hasConceptScore W2614865963C33923547 @default.
• W2614865963 hasConceptScore W2614865963C62520636 @default.
• W2614865963 hasConceptScore W2614865963C91602232 @default.
• W2614865963 hasConceptScore W2614865963C94128290 @default.
• W2614865963 hasLocation W26148659631 @default.
• W2614865963 hasLocation W26148659632 @default.
• W2614865963 hasLocation W26148659633 @default.
• W2614865963 hasOpenAccess W2614865963 @default.
• W2614865963 hasPrimaryLocation W26148659631 @default.
• W2614865963 hasRelatedWork W2005011583 @default.
• W2614865963 hasRelatedWork W2039753713 @default.
• W2614865963 hasRelatedWork W2072606883 @default.
• W2614865963 hasRelatedWork W2183969993 @default.
• W2614865963 hasRelatedWork W2317257137 @default.
• W2614865963 hasRelatedWork W2317557839 @default.
• W2614865963 hasRelatedWork W2361822467 @default.
• W2614865963 hasRelatedWork W2368275084 @default.
• W2614865963 hasRelatedWork W2611200837 @default.
• W2614865963 hasRelatedWork W2613617587 @default.
• W2614865963 hasRelatedWork W2751976678 @default.
• W2614865963 hasRelatedWork W2783740906 @default.
• W2614865963 hasRelatedWork W2900621371 @default.
• W2614865963 hasRelatedWork W2909321154 @default.
• W2614865963 hasRelatedWork W2975678537 @default.
• W2614865963 hasRelatedWork W3013770029 @default.
• W2614865963 hasRelatedWork W3123265986 @default.
• W2614865963 hasRelatedWork W3153470587 @default.
• W2614865963 hasRelatedWork W3181841418 @default.

• next