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Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations

Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in... This paper examines the forecasting performance of three value-at-risk (VaR) models (RiskMetrics, Normal APARCH and Student APARCH). We explore and compare two different possible sources of performance improvements: asymmetry in the conditional variance and fat-tailed distributions. Performance is assessed using a range of measures that address the accuracy and efficiency of each model. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations

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References (23)

Publisher
Springer Journals
Copyright
Copyright © 2004 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
DOI
10.1023/B:REQU.0000015851.78720.a9
Publisher site
See Article on Publisher Site

Abstract

This paper examines the forecasting performance of three value-at-risk (VaR) models (RiskMetrics, Normal APARCH and Student APARCH). We explore and compare two different possible sources of performance improvements: asymmetry in the conditional variance and fat-tailed distributions. Performance is assessed using a range of measures that address the accuracy and efficiency of each model.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 2, 2004

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