TY  - UNPD
A1  - Mittnik, Stefan
A1  - Paolella, Marc S.
T1  - Prediction of financial downside-risk with heavy-tailed conditional distributions
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,04
N2  - 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.
T3  - CFS working paper series - 2003, 04 
KW  - Risk Management
KW  - Value at Risk
KW  - Density Forecasting
KW  - Predictive Likelihood
KW  - GARCH-Prozess
KW  - Kapitalanlage
KW  - Kursrisiko
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4484
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10106
N1  - Revised edition published in: Rachev, S.T. (ed.) Handbook of Heavy Tailed Distributions in Finance, Elesvier/North Holland, 2003, 384-404 (with Paolella).
ER  -