IDEAS home Printed from https://ideas.repec.org/a/oup/jfinec/v3y2005i2p227-255.html
   My bibliography  Save this article

Nonparametric Inference of Value-at-Risk for Dependent Financial Returns

Author

Listed:
  • Song Xi Chen

Abstract

The article considers nonparametric estimation of value-at-risk (VaR) and associated standard error estimation for dependent financial returns. Theoretical properties of the kernel VaR estimator are investigated in the context of dependence. The presence of dependence affects the variance of the VaR estimates and has to be taken into consideration in order to obtain adequate assessment of their variation. An estimation procedure of the standard errors is proposed based on kernel estimation of the spectral density of a derived series. The performance of the VaR estimators and the proposed standard error estimation procedure are evaluated by theoretical investigation, simulation of commonly used models for financial returns, and empirical studies on real financial return series. Copyright 2005, Oxford University Press.

Suggested Citation

  • Song Xi Chen, 2005. "Nonparametric Inference of Value-at-Risk for Dependent Financial Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(2), pages 227-255.
  • Handle: RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/jjfinec/nbi012
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255. 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: (Oxford University Press) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sofieea.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.