A DARE for VaR (notice n° 166675)
[ vue normale ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 01467cam a2200193 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112034109.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Hamidi, Benjamin |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | A DARE for VaR |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2015.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 80 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper introduces a new class of models for the Value-at-Risk (VaR) and Expected Shortfall (ES), called the Dynamic AutoRegressive Expectiles (DARE) models. Our approach is based on a weighted average of expectile-based VaR and ES models, i.e. the Conditional Autoregressive Expectile (CARE) models introduced by Taylor (2008a) and Kuan et al. (2009). First, we briefly present the main non-parametric, parametric and semi-parametric estimation methods for VaR and ES. Secondly, we detail the DARE approach and show how the expectiles can be used to estimate quantile risk measures. Thirdly, we use various backtesting tests to compare the DARE approach to other traditional methods for computing VaR forecasts on the French stock market. Finally, we evaluate the impact of several conditional weighting functions and determine the optimal weights in order to dynamically select the more relevant global quantile model. |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Hurlin, Christophe |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Kouontchou, Patrick |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Maillet, Bertrand |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | Vol.36 | 1 | 2015-05-13 | p. 7-38 | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-finance-2015-1-page-7?lang=en">https://shs.cairn.info/journal-finance-2015-1-page-7?lang=en</a> |
Pas d'exemplaire disponible.
Réseaux sociaux