کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095901 1376490 2015 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Risk-parameter estimation in volatility models
ترجمه فارسی عنوان
برآورد پارامتر خطر در مدل های نوسان پذیری
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
This paper introduces the concept of risk parameter in conditional volatility models of the form ϵt=σt(θ0)ηt and develops statistical procedures to estimate this parameter. For a given risk measure r, the risk parameter is expressed as a function of the volatility coefficients θ0 and the risk, r(ηt), of the innovation process. A two-step method is proposed to successively estimate these quantities. An alternative one-step approach, relying on a reparameterization of the model and the use of a non Gaussian QML, is proposed. Asymptotic results are established for smooth risk measures, as well as for the Value-at-Risk (VaR). Asymptotic comparisons of the two approaches for VaR estimation suggest a superiority of the one-step method when the innovations are heavy-tailed. For standard GARCH models, the comparison only depends on characteristics of the innovations distribution, not on the volatility parameters. Monte-Carlo experiments and an empirical study illustrate the superiority of the one-step approach for financial series.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 184, Issue 1, January 2015, Pages 158-173
نویسندگان
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