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- Publisher
- Springer Journals
- Copyright
- Copyright © 2006 by Springer Science + Business Media, LLC
- Subject
- Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
- ISSN
- 0924-865X
- eISSN
- 1573-7179
- DOI
- 10.1007/s11156-006-8541-9
- Publisher site
- See Article on Publisher Site
Abstract
The calculus of VaR involves dealing with the confidence level, the time horizon and the true underlying conditional distribution function of asset returns. In this paper, we shall examine the effects of using a specific distribution function that fits well the low-tail data of the observed distribution of asset returns on the accuracy of VaR estimates. In our analysis, we consider some distributional forms characterized by capturing the excess kurtosis characteristic of stock return distributions and we compare their performance using some international stock indices.
Journal
Review of Quantitative Finance and Accounting – Springer Journals
Published: Jan 1, 2006