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 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). Klassifikation: C22, C51, G10
| Author: | Stefan Mittnik, Marc S. Paolella |
|---|---|
| URN: | urn:nbn:de:hebis:30-10106 |
| Series (Serial Number) | CFS working paper series (2003, 04) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 13.06.2005 |
| Year of first Publication: | 2003 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| 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 |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
