Risk Measure Estimation On Fiegarch Processes
AbstractWe consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a simulated study regarding the estimation of the risk measure $VaR_p$ on FIEGARCH processes. We consider the distribution function of the portfolio log-returns (univariate case) and the multivariate distribution function of the risk-factor changes (multivariate case). We also compare the performance of the risk measures $VaR_p$, $ES_p$ and MaxLoss for a portfolio composed by stocks of four Brazilian companies.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1305.5238.
Date of creation: May 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
- NEP-ECM-2013-06-04 (Econometrics)
- NEP-ETS-2013-06-04 (Econometric Time Series)
- NEP-RMG-2013-06-04 (Risk Management)
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