کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475180 | 929043 | 2005 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Measuring tail thickness under GARCH and an application to extreme exchange rate changes
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Accurate modeling of extreme price changes is vital to financial risk management. We examine the small sample properties of adaptive tail index estimators under the class of student-t marginal distribution functions including generalized autoregressive conditional heteroskedastic (GARCH) models and propose a model-based bias-corrected estimation approach. Our simulation results indicate that bias relates to the underlying model and may be positively as well as negatively signed. The empirical study of daily exchange rate changes reveals substantial differences in measured tail thickness due to small sample bias. Thus, high quantile estimation may lead to a substantial underestimation of tail risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 12, Issue 1, January 2005, Pages 165-185
Journal: Journal of Empirical Finance - Volume 12, Issue 1, January 2005, Pages 165-185
نویسندگان
Niklas Wagner, Terry A. Marsh,