Value-at-Risk Prediction: A Comparison of Alternative Strategies

DOI10.1093/JJFINEC/NBJ002zbMATH Open1418.91609OpenAlexW1989899182WikidataQ56137976 ScholiaQ56137976MaRDI QIDQ5226705FDOQ5226705

Authors: Keith Kuester, Marc S. Paolella, Stefan Mittnik 

Publication date: 1 August 2019

Published in: Journal of Financial Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/jjfinec/nbj002

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zbMATH Keywords

quantile regressionextreme value theoryGARCHfat tailsempirical finance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Cited In (27)

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• Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation
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• A decision rule to minimize daily capital charges in forecasting value-at-risk
• Accurate value-at-risk forecasting based on the normal-GARCH model
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• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
• Multivariate time-varying \(G\)-\(H\) copula GARCH model and its application in the financial market risk measurement
• A comparison of several time-series models for assessing the value at risk of shares
• Where does the tail begin? An approach based on scoring rules
• Systemic risk measurement: bucketing global systemically important banks
• Improving the value at risk forecasts: theory and evidence from the financial crisis
• An ARMA-GARCH model and its application for ACCNAV prediction
• Two-step methods in VaR prediction and the importance of fat tails
• Model selection based on value-at-risk backtesting approach for GARCH-type models
• A Bayesian encompassing test using combined value-at-risk estimates
• Extreme downside risk and market turbulence
• Verification of internal risk measure estimates
• Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models
• High frequency-based quantile forecast and combination: an application to oil market
• Comparing the small-sample estimation error of conceptually different risk measures
• Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
• Backtesting extreme value theory models of expected shortfall

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