Comparison of value-at-risk models using the MCS approach

DOI10.1007/S00180-016-0646-6zbMATH Open1342.65020OpenAlexW2285445848MaRDI QIDQ736648FDOQ736648

Authors: Mauro Bernardi, Leopoldo Catania 

Publication date: 4 August 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-016-0646-6

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zbMATH Keywords

GAShypothesis testingmodel confidence setvalue-at-riskARCHCAViaR modelsVaR combination

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) 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

• Maximum likelihood estimates for positive valued dynamic score models; the DySco package
• The Model Confidence Set
• Generalized autoregressive conditional heteroscedasticity
• Regression Quantiles
• An Introduction to Univariate GARCH Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Quantile Autoregression
• Bayesian quantile regression
• Making and evaluating point forecasts
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Stepwise Multiple Testing as Formalized Data Snooping
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• A Reality Check for Data Snooping
• Asymptotic Inference about Predictive Ability
• Tests of Conditional Predictive Ability
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• A multiple indicators model for volatility using intra-daily data
• Title not available (Why is that?)
• A Class of Nonlinear Arch Models
• Estimation of stochastic volatility models with diagnostics
• Tests of equal forecast accuracy and encompassing for nested models
• Financial modeling under non-Gaussian distributions.
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Multivariate GARCH Models
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
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• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• Title not available (Why is that?)
• Robust ranking of multivariate GARCH models by problem dimension
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• Efficient matrix approach for classical inference in state space models

Cited In (2)

• Modeling returns volatility: realized GARCH incorporating realized risk measure
• Forecasting volatility returns of oil price using gene expression programming approach.

Uses Software

• R
• MCS
• CRAN
• CAViaR
• MSC
• DySco

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