The two-sided Weibull distribution and forecasting financial tail risk
A two-sided Weibull is developed for modelling the conditional financial return distribution, for the purpose of forecasting tail risk measures. For comparison, a range of conditional return distributions are combined with four volatility specifications in order to forecast the tail risk in seven daily financial return series, over a four-year forecast period that includes the recent global financial crisis. The two-sided Weibull performs at least as well as other distributions for Value at Risk (VaR) forecasting, but performs most favourably for conditional VaR forecasting, prior to the crisis as well as during and after it.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Y. Malevergne & D. Sornette, 2003. "VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions," Papers physics/0301009, arXiv.org.
- Peter R. Hansen & Asger Lunde & James M. Nason, 2011.
"The Model Confidence Set,"
Econometric Society, vol. 79(2), pages 453-497, 03.
- Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
- Engle, Robert F & Manganelli, Simone, 1999.
"CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,"
University of California at San Diego, Economics Working Paper Series
qt06m3d6nv, Department of Economics, UC San Diego.
- Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- Hinkley, David V. & Revankar, Nagesh S., 1977. "Estimation of the Pareto law from underreported data : A further analysis," Journal of Econometrics, Elsevier, vol. 5(1), pages 1-11, January.
- Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K., 2007.
"On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks,"
Journal of Econometrics,
Elsevier, vol. 139(1), pages 154-180, July.
- HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & van DIJK, Herman K., . "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," CORE Discussion Papers RP -1922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," Econometric Institute Research Papers EI 2005-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," CORE Discussion Papers 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brooks, Chris, 2001. "A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 135-43, March.
- Hansen, B.E., 1992.
"Autoregressive Conditional Density Estimation,"
RCER Working Papers
322, University of Rochester - Center for Economic Research (RCER).
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993.
"On the relation between the expected value and the volatility of the nominal excess return on stocks,"
157, Federal Reserve Bank of Minneapolis.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
- Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2990-3010, February.
- Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.
- González-Rivera Gloria, 1998. "Smooth-Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(2), pages 1-20, July.
- Ewerhart II, Christian, 2002. "Banks, Internal Models and the Problem of Adverse Selection," Sonderforschungsbereich 504 Publications 02-14, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Kerkhof, F.L.J. & Melenberg, B., 2002.
"Backtesting for Risk-Based Regulatory Capital,"
2002-110, Tilburg University, Center for Economic Research.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Berkowitz, Jeremy, 2001. "Testing Density Forecasts, with Applications to Risk Management," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 465-74, October.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Wong, Woon K., 2008. "Backtesting trading risk of commercial banks using expected shortfall," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1404-1415, July.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:29:y:2013:i:4:p:527-540. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.