VaR performance during the subprime and sovereign debt crises: An application to emerging markets

Emerging Markets Review - Tập 20 - Trang 23-41 - 2014
Esther B. Del Brio1, Andrés Mora-Valencia2, Javier Perote1,2,3
1Faculty of Economics and Business, Department of Business Economics, University of Salamanca, Spain
2School of Economics and Finance, Department of Finance, EAFIT University, Colombia
3Faculty of Economics and Business, Department of Economics, University of Salamanca, Spain

Tài liệu tham khảo

Bali, 2008, Risk measurement performance of alternative distribution functions, J. Risk Insur., 75, 411, 10.1111/j.1539-6975.2008.00266.x Berkowitz, 2002, How accurate are value-at-risk models at commercial banks?, J. Financ., 57, 1093, 10.1111/1540-6261.00455 Bollerslev, 1986, Generalized autoregressive conditional heteroscedasticity, J. Econ., 31, 307, 10.1016/0304-4076(86)90063-1 Christoffersen, 2003 Cont, 2001, Empirical properties of asset returns: stylized facts and statistical issues, Quant. Finan., 1, 223, 10.1080/713665670 Daníelsson, 2006, On time-scaling of risk and the square-root-of-time rule, J. Bank. Finan., 30, 2701, 10.1016/j.jbankfin.2005.10.002 Davison, 1990, Models for exceedances over high thresholds, J. R. Stat. Soc. Ser. B, 52, 393 de Vries, 2000, Second order diversification effects, 153 Del Brio, 2012, Gram–Charlier densities: maximum likelihood versus the method of moments, Insur. Math. Econ., 51, 531, 10.1016/j.insmatheco.2012.07.005 Diebold, 1997, Converting 1-day volatility into h-day volatility: Scaling by h is worse than you think Dowd, 2006, After VaR: the theory, estimation, and insurance applications of quantile‐based risk measures, J. Risk Insur., 73, 193, 10.1111/j.1539-6975.2006.00171.x Edgeworth, 1907, On the representation of statistical frequency by a series, J. R. Stat. Soc. Ser. A, 70, 102, 10.2307/2339504 Embrechts, 1997 Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom, Econometrica, 50, 987, 10.2307/1912773 Fernández, 1998, On Bayesian modeling of fat tails and skewness, J. Am. Stat. Assoc., 93, 359 Gallant, 1987, Semi-nonparametric maximum likelihood estimation, Econometrica, 55, 363, 10.2307/1913241 Giot, 2003, Value-at-risk for long and short trading positions, J. Appl. Econ., 18, 641, 10.1002/jae.710 Hansen, 1994, Autoregressive conditional density estimation, Int. Econ. Rev., 35, 705, 10.2307/2527081 Hansen, 2009, In-sample fit and out-of-sample fit: their joint distribution and its implications for model selection Harmantzis, 2006, Empirical study of value-at-risk and expected shortfall models with heavy tails, J. Risk Finan., 7, 117, 10.1108/15265940610648571 Huang, 2009, Forecast of value at risk for equity indices: an analysis from developed and emerging markets, J. Risk Finan., 10, 393, 10.1108/15265940910980687 Jarrow, 1982, Approximate option valuation for arbitrary stochastic processes, J. Financ. Econ., 10, 347, 10.1016/0304-405X(82)90007-1 Jondeau, 2001, Gram–Charlier densities, J. Econ. Dyn. Control., 25, 1457, 10.1016/S0165-1889(99)00082-2 Jorion, 2006 Kendall, 1977 Kolb, 2010 Kuester, 2006, Value-at-risk prediction: a comparison of alternative strategies, J. Financ. Econom., 4, 53, 10.1093/jjfinec/nbj002 León, 2009, Parametric properties of semi-nonparametric distributions, J. Bus. Econ. Stat., 27, 176, 10.1198/jbes.2009.0013 Lin, 2006, Can the Student-t distribution provide accurate value at risk?, J. Risk Finan., 7, 292, 10.1108/15265940610664960 Mandelbrot, 1963, The variation of certain speculative prices, J. Bus., 36, 394, 10.1086/294632 Mauleón, 2003, Financial densities in emerging markets: an application of the multivariate ES density, Emerg. Mark. Rev., 4, 197, 10.1016/S1566-0141(03)00027-X Mauleón, 2000, Testing densities with financial data: an empirical comparison of the Edgeworth–Sargan density to the Student's t, Eur.J. Financ., 6, 225, 10.1080/13518470050020851 McNeil, 2000, Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach, J. Empir. Financ., 7, 271, 10.1016/S0927-5398(00)00012-8 McNeil, 2005 Mishkin, 2011, Over the cliff: from the subprime to the global financial crisis, J. Econ. Perspect., 25, 49, 10.1257/jep.25.1.49 Rachev, 2010, Capturing fat tails, Risk Mag., 2010, 72 Sharpe, 1992, Asset allocation: management style and performance measurement, J. Portf. Manag., 18, 7, 10.3905/jpm.1992.409394 Shiller, 2008 Tsay, 2010 Wang, 2011, How accurate is the square-root-of-time rule in scaling tail risk: a global study, J. Bank. Finan., 35, 1158, 10.1016/j.jbankfin.2010.09.028 Zumbach, 2006, Backtesting risk methodologies from one day to one year, J. of Risk, 9, 55, 10.21314/JOR.2007.144