Matches in SemOpenAlex for { <https://semopenalex.org/work/W2741306420> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W2741306420 startingPage "1" @default.
- W2741306420 abstract "This work investigates the performance of different models of Value at Risk (VaR). Weinclude a wider range of methods (Parametric, Historical simulation, Monte Carlosimulation, and Extreme value theory models) and several models to compute theconditional variance (exponential moving averages, GARCH and asymmetric GARCHmodels) under Normal and Student�s t-distribution of returns. We analyse fourEuropean indexes (IBEX-35, CAC40, DAX and FTSE100), the American Dow Jonesand S&P 500 indexes, the Japanese Nikkei 225 index and the Hong Kong Hang Sengindex. We examine two periods: a stable period and a volatile one. To choose the bestmodel, we employ a two-stage selection approach. First, we test the accuracy ofdifferent models of VaR. We use the unconditional and conditional coverage test, theBack-Testing criterion and the dynamic quantile test. A model survived if all testsindicated the model is accurate. With regard to the first stage, the best models areParametric and Extreme value theory methods, when they use asymmetric and nonasymmetricGARCH models under Student�s t-distribution of returns. Second, weevaluate the loss function of these models. We use several non-parametric tests to testthe superiority of a VaR model in terms of the loss function. The result of the secondstage indicates that the best model is a Parametric model with conditional varianceestimated by asymmetric GARCH model under Student�s t-distribution of returns.Nowadays the Parametric models are not as popular because some authors argue thatthe most conventional parametric specifications have failed in capturing some rareevents. However, this paper shows that these models can obtain successful VaRmeasures if conditional variance is estimated with a GARCH model to capture thecharacteristic of the returns. This model is usually an exponential GARCH underStudent�s t-distribution of returns." @default.
- W2741306420 created "2017-08-08" @default.
- W2741306420 creator A5000868149 @default.
- W2741306420 creator A5020717778 @default.
- W2741306420 date "2009-01-01" @default.
- W2741306420 modified "2023-09-24" @default.
- W2741306420 title "A DETAILED COMPARISON OF VALUE AT RISK IN INTERNATIONAL STOCK EXCHANGES" @default.
- W2741306420 cites W1498607916 @default.
- W2741306420 cites W1540275643 @default.
- W2741306420 cites W1985849418 @default.
- W2741306420 cites W1988611515 @default.
- W2741306420 cites W1999309535 @default.
- W2741306420 cites W2097015393 @default.
- W2741306420 cites W2099208941 @default.
- W2741306420 cites W2123970954 @default.
- W2741306420 cites W2132149004 @default.
- W2741306420 cites W2135177937 @default.
- W2741306420 cites W2137827605 @default.
- W2741306420 cites W2161884163 @default.
- W2741306420 cites W2165679120 @default.
- W2741306420 cites W3022145223 @default.
- W2741306420 cites W3028437707 @default.
- W2741306420 cites W3122046970 @default.
- W2741306420 cites W3122175640 @default.
- W2741306420 hasPublicationYear "2009" @default.
- W2741306420 type Work @default.
- W2741306420 sameAs 2741306420 @default.
- W2741306420 citedByCount "3" @default.
- W2741306420 countsByYear W27413064202014 @default.
- W2741306420 countsByYear W27413064202016 @default.
- W2741306420 crossrefType "journal-article" @default.
- W2741306420 hasAuthorship W2741306420A5000868149 @default.
- W2741306420 hasAuthorship W2741306420A5020717778 @default.
- W2741306420 hasConcept C105795698 @default.
- W2741306420 hasConcept C117251300 @default.
- W2741306420 hasConcept C118671147 @default.
- W2741306420 hasConcept C147581598 @default.
- W2741306420 hasConcept C149782125 @default.
- W2741306420 hasConcept C162324750 @default.
- W2741306420 hasConcept C187736073 @default.
- W2741306420 hasConcept C21430997 @default.
- W2741306420 hasConcept C23922673 @default.
- W2741306420 hasConcept C24574437 @default.
- W2741306420 hasConcept C32896092 @default.
- W2741306420 hasConcept C33923547 @default.
- W2741306420 hasConcept C91602232 @default.
- W2741306420 hasConcept C94128290 @default.
- W2741306420 hasConceptScore W2741306420C105795698 @default.
- W2741306420 hasConceptScore W2741306420C117251300 @default.
- W2741306420 hasConceptScore W2741306420C118671147 @default.
- W2741306420 hasConceptScore W2741306420C147581598 @default.
- W2741306420 hasConceptScore W2741306420C149782125 @default.
- W2741306420 hasConceptScore W2741306420C162324750 @default.
- W2741306420 hasConceptScore W2741306420C187736073 @default.
- W2741306420 hasConceptScore W2741306420C21430997 @default.
- W2741306420 hasConceptScore W2741306420C23922673 @default.
- W2741306420 hasConceptScore W2741306420C24574437 @default.
- W2741306420 hasConceptScore W2741306420C32896092 @default.
- W2741306420 hasConceptScore W2741306420C33923547 @default.
- W2741306420 hasConceptScore W2741306420C91602232 @default.
- W2741306420 hasConceptScore W2741306420C94128290 @default.
- W2741306420 hasIssue "452" @default.
- W2741306420 hasLocation W27413064201 @default.
- W2741306420 hasOpenAccess W2741306420 @default.
- W2741306420 hasPrimaryLocation W27413064201 @default.
- W2741306420 hasRelatedWork W1525594063 @default.
- W2741306420 hasRelatedWork W1567210672 @default.
- W2741306420 hasRelatedWork W1585397833 @default.
- W2741306420 hasRelatedWork W1585728582 @default.
- W2741306420 hasRelatedWork W173405575 @default.
- W2741306420 hasRelatedWork W1917604544 @default.
- W2741306420 hasRelatedWork W197991763 @default.
- W2741306420 hasRelatedWork W1985991861 @default.
- W2741306420 hasRelatedWork W2047083991 @default.
- W2741306420 hasRelatedWork W2052394420 @default.
- W2741306420 hasRelatedWork W2067068472 @default.
- W2741306420 hasRelatedWork W2116454815 @default.
- W2741306420 hasRelatedWork W2172713254 @default.
- W2741306420 hasRelatedWork W2263070649 @default.
- W2741306420 hasRelatedWork W2352787499 @default.
- W2741306420 hasRelatedWork W2618745416 @default.
- W2741306420 hasRelatedWork W2759822867 @default.
- W2741306420 hasRelatedWork W2898614222 @default.
- W2741306420 hasRelatedWork W2981048337 @default.
- W2741306420 hasRelatedWork W657103738 @default.
- W2741306420 isParatext "false" @default.
- W2741306420 isRetracted "false" @default.
- W2741306420 magId "2741306420" @default.
- W2741306420 workType "article" @default.