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A Generalized SSAR Model and Predictive Distribution with an Application to VaR

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  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

  • Seisho Sato

    (Institute of Statistical Mathematics)

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    Abstract

    The asymmetrical movements between the downward and upward phases of the sample paths of time series have been sometimes observed. By generalizing the SSAR (simultaneous switching autoregressive) models, we introduce a class of nonlinear time series models having the asymmetrical sample paths in the upward and downward phases. We show that the class of generalized SSAR models is useful for estimating the asymmetrical predictive distribution given the present and past information. Applications to the prediction based on the predictive median and the estimation of the VaR (value at risk) in financial risk management are discussed.

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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2001/2001cf122.pdf
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    Bibliographic Info

    Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-122.

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    Length: 22 pages
    Date of creation: Jul 2001
    Date of revision:
    Handle: RePEc:tky:fseres:2001cf122

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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