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Estimation and testing of portfolio Value‐at‐Risk based on L‐comoment matrices

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  • Wei‐Han Liu

Abstract

This study employs L‐comoments introduced by Serfling and Xiao (2007) into portfolio Value‐at‐Risk estimation through two models: the Cornish–Fisher expansion (Draper, N. R. & Tierney, D. E., 1973) and modified VaR (Zangari, P., 1996). Backtesting outcomes indicate that modified VaR outperforms and L‐comoments give better estimates of portfolio skewness and excess kurtosis than do classical central moments in modeling heavy‐tailed distributions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:897–908, 2010

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  • Wei‐Han Liu, 2010. "Estimation and testing of portfolio Value‐at‐Risk based on L‐comoment matrices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(9), pages 897-908, September.
    • Handle: RePEc:wly:jfutmk:v:30:y:2010:i:9:p:897-908
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    1. Jaime de Jesus Filho & Paulo Matos & Ronald Fonseca, 2023. "The Role of Contagion and Integration in Risk Management Measures," Global Business Review, International Management Institute, vol. 24(5), pages 1111-1128, October.

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