✦ LIBER ✦

A Study of Value-at-Risk Based on M-Estimators of the Conditional Heteroscedastic Models

✍ Scribed by Farhat Iqbal; Kanchan Mukherjee

Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 119 KB
Volume: 31
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.1224

No coin nor oath required. For personal study only.

✦ Synopsis

ABSTRACT

In this paper, we investigate the performance of a class of M‐estimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of value‐at‐risk. The class of estimators includes the least absolute deviation (LAD), Huber's, Cauchy and B‐estimator, as well as the well‐known quasi maximum likelihood estimator (QMLE). We use a wide range of summary statistics to compare both the in‐sample and out‐of‐sample VaR estimates of three well‐known stock indices. Our empirical study suggests that in general Cauchy, Huber and B‐estimator have better performance in predicting one‐step‐ahead VaR than the commonly used QMLE. Copyright © 2011 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

The Effects of Operating Conditions on t

The Effects of Operating Conditions on the Performance of a Solid Oxide Steam Electrolyser: A Model-Based Study

✍ Q. Cai; E. Luna-Ortiz; C. S. Adjiman; N. P. Brandon 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 321 KB 👁 2 views

## Abstract To support the development of hydrogen production by high temperature electrolysis using solid oxide electrolysis cells (SOECs), the effects of operating conditions on the performance of the SOECs were investigated using a one‐dimensional model of a cathode‐supported planar SOEC stack.

The impact of socioeconomic status on st

The impact of socioeconomic status on stage of cancer at diagnosis and survival : A population-based study in Ontario, Canada

✍ Christopher M. Booth; Gavin Li; Jina Zhang-Salomons; William J. Mackillop 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 254 KB 👁 1 views

Candidate genes involved in cardiovascul

Candidate genes involved in cardiovascular risk factors by a family-based association study on the island of Kosrae, Federated States of Micronesia

✍ Han, Zhihua ;Heath, Simon C. ;Shmulewitz, Dvora ;Li, Wentian ;Auerbach, Steve B. 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 99 KB 👁 2 views

Role of the C677T polymorphism at theMTH

Role of the C677T polymorphism at theMTHFR gene on risk to nonsyndromic cleft lip with/without cleft palate: Results from a case-control study in Brazil

✍ Gaspar, D. A.; Pavanello, R. C.; Zatz, M.; Passos-Bueno, M. R.; Andr�, M.; Stema 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 9 KB 👁 3 views

A study of the Air-blast Method for the

A study of the Air-blast Method for the Evaluation of the Effectiveness of Flavonoid Compounds on Capillary Fragility††This paper is based on work performed under Contract No. AT-04-1-GEN-12 between the Atomic Energy Commission and the University of California at Los Angeles.

✍ Haley, Thomas J. ;Rhodes, Bonnie M. ;Cassen, Benedict ;Curtis, Lawrence ;Kistler 📂 Article 📅 1950 🏛 Elsevier ⚖ 312 KB 👁 2 views

The problem of age, Growth and Death. A

The problem of age, Growth and Death. A study of cytomorphosis, based on lectures at the Lowell Institute, March, 1907. By Charles S. Minot, LL.D. (Yale, Toronto), D.Cc. (Oxford), James Stillman, Professor of Comparative Anatomy in the Harvard Medical School, President of the Boston Society of Natural History. Illustrated. No. 21 in the Science Series, edited by Edward L. Thorndike, Ph.D., and F. E. Beddard, M.A., F.R.S. G. P. Putnam's Sons, New Pork and London. The Knickerbocker Press, 1908

✍ Donaldson, Henry H. 📂 Article 📅 1908 🏛 John Wiley and Sons 🌐 English ⚖ 337 KB 👁 3 views