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Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling

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  • Wolfgang Aussenegg

    ()

  • Tatiana Miazhynskaia

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11408-006-0020-8
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    Bibliographic Info

    Article provided by Springer in its journal Financial Markets and Portfolio Management.

    Volume (Year): 20 (2006)
    Issue (Month): 3 (September)
    Pages: 243-264

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    Handle: RePEc:kap:fmktpm:v:20:y:2006:i:3:p:243-264

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    Web page: http://www.springerlink.com/link.asp?id=119763

    Related research

    Keywords: Value-at-risk; Bayesian analysis; GARCH; Historical simulation; Bootstrap resampling; C11; C50; G10;

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    References

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    1. Nakatsuma, Teruo, 2000. "Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach," Journal of Econometrics, Elsevier, vol. 95(1), pages 57-69, March.
    2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Tatiana Miazhynskaia & Georg Dorffner, 2006. "A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models," Statistical Papers, Springer, vol. 47(4), pages 525-549, October.
    4. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
    5. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    6. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
    7. David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer, vol. 19(3), pages 239-260, October.
    8. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
    9. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005. "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October.
    10. Vrontos, I D & Dellaportas, P & Politis, D N, 2000. "Full Bayesian Inference for GARCH and EGARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 187-98, April.
    11. Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, EconWPA, revised 24 Oct 1994.
    12. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
    13. Chris Brooks & Gita Persand, 2000. "Value at Risk and Market Crashes," ICMA Centre Discussion Papers in Finance icma-dp2000-01, Henley Business School, Reading University.
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    Cited by:
    1. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
    2. Jie Zhu, 2009. "Pricing volatility of stock returns with volatile and persistent components," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 243-269, September.

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