کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099046 | 1376980 | 2012 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Improving the value at risk forecasts: Theory and evidence from the financial crisis
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we develop data-driven VaR approaches that are based on the principle of optimal combination and that provide robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis. Within a comprehensive comparative study we provide the latest piece of empirical evidence on the performance of a wide range of standard VaR approaches and highlight the overall outperformance of the newly developed methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 8, August 2012, Pages 1212-1228
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 8, August 2012, Pages 1212-1228
نویسندگان
Roxana Halbleib, Winfried Pohlmeier,