Improving the value at risk forecasts : theory and evidence from the financial crisis

Chiriac, Roxana; Pohlmeier, Winfried

Improving the value at risk forecasts : theory and evidence from the financial crisis

Dateien

Halbleib_290119.pdfGröße: 303.04 KBDownloads: 609

Datum

2012

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften
Zukunftskolleg

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Journal of Economic Dynamics and Control. 2012, 36(8), pp. 1212-1228. ISSN 0165-1889. eISSN 1879-1743. Available under: doi: 10.1016/j.jedc.2011.10.005

Zusammenfassung

The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we develop data-driven VaR approaches that are based on the principle of optimal combination and that provide robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis. Within a comprehensive comparative study we provide the latest piece of empirical evidence on the performance of a wide range of standard VaR approaches and highlight the overall outperformance of the newly developed methods.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Value-at-risk, Optimal forecast combination, Quantile regression, Method of moments, Financial crisis

Zitieren

ISO 690

CHIRIAC, Roxana, Winfried POHLMEIER, 2012. Improving the value at risk forecasts : theory and evidence from the financial crisis. In: Journal of Economic Dynamics and Control. 2012, 36(8), pp. 1212-1228. ISSN 0165-1889. eISSN 1879-1743. Available under: doi: 10.1016/j.jedc.2011.10.005

BibTex

@article{Chiriac2012Impro-29011,
  year={2012},
  doi={10.1016/j.jedc.2011.10.005},
  title={Improving the value at risk forecasts : theory and evidence from the financial crisis},
  number={8},
  volume={36},
  issn={0165-1889},
  journal={Journal of Economic Dynamics and Control},
  pages={1212--1228},
  author={Chiriac, Roxana and Pohlmeier, Winfried}
}

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