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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations

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  • Hang Chan, Ngai
  • Deng, Shi-Jie
  • Peng, Liang
  • Xia, Zhendong

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  • Hang Chan, Ngai & Deng, Shi-Jie & Peng, Liang & Xia, Zhendong, 2007. "Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations," Journal of Econometrics, Elsevier, vol. 137(2), pages 556-576, April.
  • Handle: RePEc:eee:econom:v:137:y:2007:i:2:p:556-576
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    Cited by:

    1. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Zhao, Xin & Scarrott, Carl John & Oxley, Les & Reale, Marco, 2011. "GARCH dependence in extreme value models with Bayesian inference," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1430-1440.
    3. Moosup Kim & Sangyeol Lee, 2016. "On the tail index inference for heavy-tailed GARCH-type innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(2), pages 237-267, April.
    4. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, Elsevier.
    5. Gourieroux, Christian & Zakoïan, Jean-Michel, 2013. "Estimation-Adjusted Var," Econometric Theory, Cambridge University Press, vol. 29(04), pages 735-770, August.
    6. Yen-Hsien Lee & Hao Fang & Wei-Fan SU, 2014. "Effectiveness of Portfolio Diversification and the Dynamic Relationship between Stock and Currency Markets in the Emerging Eastern European and Russian Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 296-311, September.
    7. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
    8. Santiago Gamba-Santamaria & Oscar Fernando Jaulin-Mendez & Luis Fernando Melo-Velandia & Carlos Andrés Quicazán-Moreno, 2016. "Comparison of methods for estimating the uncertainty of value at risk," Studies in Economics and Finance, Emerald Group Publishing, vol. 33(4), pages 595-624, October.
    9. Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
    10. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
    11. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Documents de travail du Centre d'Economie de la Sorbonne 16034rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    12. Nieto, María Rosa & Ruiz, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01491990, HAL.
    14. Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno, "undated". "Comparación De Métodos Para La Estimación De La Incertidumbre Del Valor En Riesgo," Temas de Estabilidad Financiera 83, Banco de la Republica de Colombia.
    15. Spierdijk, Laura, 2016. "Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 545-559.
    16. Nieto, María Rosa & Ruiz, Esther, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS ws102814, Universidad Carlos III de Madrid. Departamento de Estadística.
    17. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Documents de travail du Centre d'Economie de la Sorbonne 17019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    18. Chen, Jian & Peng, Liang & Zhao, Yichuan, 2009. "Empirical likelihood based confidence intervals for copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 137-151, January.
    19. Su, Jung-Bin & Hung, Jui-Cheng, 2011. "Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation," Economic Modelling, Elsevier, vol. 28(3), pages 1117-1130, May.
    20. Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009. "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics 09/15, University of Canterbury, Department of Economics and Finance.
    21. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    22. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
    23. Lönnbark, Carl, 2008. "A Corrected Value-at-Risk Predictor," Umeå Economic Studies 734, Umeå University, Department of Economics.
    24. Sun, Pengfei & Zhou, Chen, 2014. "Diagnosing the distribution of GARCH innovations," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 287-303.

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