Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices

Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices

Loading next page...
Kluwer Academic Publishers
Copyright © 2006 by Springer Science + Business Media, LLC
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
Publisher site
See Article on Publisher Site


  • A long memory property of stock market returns and a new model
    Ding, ZC; Granger, WJ; Engle, RF
  • Bootstrap general empirical measures
    Giné, E; Zinn, J
  • Bank capital requirements for market risk: The internal models approach
    Hendricks, D; Hirtle, B
  • Regulatory evaluation of Value-at-Risk models
    Lopez, JA

You’re reading a free preview. Subscribe to read the entire article.

DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches


Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.



billed annually
Start Free Trial

14-day Free Trial