Prediction of financial downside-risk with heavy-tailed conditional distributions

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurt
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of modeling foreign exchange-rates and demonstrates their superiority over use of normal or Student´s t GARCH models. Revised edition published in: Rachev, S.T. (ed.) Handbook of Heavy Tailed Distributions in Finance, Elesvier/North Holland, 2003, 384-404 (with Paolella).
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Metadaten
Author:Stefan Mittnik, Marc S. Paolella
URN:urn:nbn:de:hebis:30-10106
Parent Title (German):CFS working paper series ; 2003, 04
Series (Serial Number):CFS working paper series (2003, 04)
Document Type:Working Paper
Language:English
Date of Publication (online):2005/06/13
Year of first Publication:2003
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2005/06/13
Tag:Density Forecasting ; Predictive Likelihood; Risk Management ; Value at Risk
Source:CFS working paper ; 2003,04 Revised version published in: Rachev, S.T. (ed.) Handbook of Heavy Tailed Distributions in Finance, Elesvier/North Holland, 2003, 384-404 (with Paolella)
HeBIS PPN:204002311
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:C22 Time-Series Models; Dynamic Quantile Regressions (Updated!)
C51 Model Construction and Estimation
G10 General
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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