Dynamic semiparametric models for expected shortfall (and value-at-risk)
From MaRDI portal
Publication:2000869
DOI10.1016/J.JECONOM.2018.10.008zbMATH Open1452.62785arXiv1707.05108OpenAlexW2962769745MaRDI QIDQ2000869FDOQ2000869
Authors: Andrew J. Patton, Rui Chen, Johanna F. Ziegel 
Publication date: 1 July 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places new attention on ES, but unlike VaR, there is little existing work on modeling ES. We use recent results from statistical decision theory to overcome the problem of "elicitability" for ES by jointly modelling ES and VaR, and propose new dynamic models for these risk measures. We provide estimation and inference methods for the proposed models, and confirm via simulation studies that the methods have good finite-sample properties. We apply these models to daily returns on four international equity indices, and find the proposed new ES-VaR models outperform forecasts based on GARCH or rolling window models.
Full work available at URL: https://arxiv.org/abs/1707.05108
Recommendations
- Semiparametric estimation of expected shortfall and its application
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
- Semiparametric varying-coefficient expectile model for estimating value at risk on dependent samples
- Semiparametric estimation of Value at Risk
- Conditional value-at-risk: semiparametric estimation and inference
- Dynamic semiparametric factor models in risk neutral density estimation
- Semi-parametric expected shortfall forecasting in financial markets
- A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Elicitability and backtesting: perspectives for banking regulation
- Quasi-maximum likelihood estimation for conditional quantiles
- Coherent measures of risk
- Higher order elicitability and Osband's principle
- Title not available (Why is that?)
- Making and evaluating point forecasts
- Asymmetric Least Squares Estimation and Testing
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Title not available (Why is that?)
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Quantitative risk management. Concepts, techniques and tools
- Title not available (Why is that?)
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Volatility forecast comparison using imperfect volatility proxies
- Nonparametric estimation of conditional VaR and expected shortfall
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Autoregressive Conditional Density Estimation
- A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Risk-parameter estimation in volatility models
- Evaluating Volatility and Correlation Forecasts
Cited In (40)
- Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- Semiparametric modeling of multiple quantiles
- Better the devil you know: improved forecasts from imperfect models
- Semiparametric estimation of expected shortfall and its application
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
- Adjusted empirical likelihood for value at risk and expected shortfall
- Predicting the Global Minimum Variance Portfolio
- Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
- A regression analysis of expected shortfall
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- ES under sublinear expectation and related experiment
- A data-driven framework for consistent financial valuation and risk measurement
- Risks in emerging markets equities: time-varying versus spatial risk analysis
- Simple factor realized stochastic volatility models
- Computation of expected shortfall by fast detection of worst scenarios
- Multiple measures realized GARCH models
- Two-step online estimation and inference for expected shortfall regression with streaming data
- Observation-driven filtering of time-varying parameters using moment conditions
- Realized Quantiles*
- Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
- Modeling Extreme Events: Time-Varying Extreme Tail Shape
- Powerful Backtests for Historical Simulation Expected Shortfall Models
- Isotonic regression for elicitable functionals and their Bayes risk
- A joint quantile and expected shortfall regression framework
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- Quantile-based portfolios: post-model-selection estimation with alternative specifications
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Functional quantile autoregression
- Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
- Loss function-based change point detection in risk measures
- PELVE: probability equivalent level of VaR and ES
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- Backtesting expected shortfall and beyond
- Inference for joint quantile and expected shortfall regression
- Study on dynamic risk measurement based on GJR and EVT
- Backtesting extreme value theory models of expected shortfall
Uses Software
This page was built for publication: Dynamic semiparametric models for expected shortfall (and value-at-risk)
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000869)
