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Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices

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  • J. Baixauli

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  • Susana Alvarez

    ()

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    Abstract

    The calculus of VaR involves dealing with the confidence level, the time horizon and the true underlying conditional distribution function of asset returns. In this paper, we shall examine the effects of using a specific distribution function that fits well the low-tail data of the observed distribution of asset returns on the accuracy of VaR estimates. In our analysis, we consider some distributional forms characterized by capturing the excess kurtosis characteristic of stock return distributions and we compare their performance using some international stock indices. Copyright Springer Science + Business Media, LLC 2006

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    File URL: http://hdl.handle.net/10.1007/s11156-006-8541-9
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 27 (2006)
    Issue (Month): 1 (August)
    Pages: 27-46

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    Handle: RePEc:kap:rqfnac:v:27:y:2006:i:1:p:27-46

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Value at risk; Excess kurtosis; Low-tail behaviour; Nonparametric goodness-of-fit tests; Parametric bootstrap;

    References

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    Cited by:
    1. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.

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