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.
| Verfasserangaben: | Stefan MittnikORCiDGND, Marc S. Paolella |
|---|---|
| URN: | urn:nbn:de:hebis:30-10106 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,04 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2003, 04) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2003 |
| Jahr der Erstveröffentlichung: | 2003 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 13.06.2005 |
| Freies Schlagwort / Tag: | Density Forecasting; Predictive Likelihood; Risk Management; Value at Risk |
| GND-Schlagwort: | GARCH-Prozess; Kapitalanlage; Kursrisiko |
| Bemerkung: | Revised edition published in: Rachev, S.T. (ed.) Handbook of Heavy Tailed Distributions in Finance, Elesvier/North Holland, 2003, 384-404 (with Paolella). |
| HeBIS-PPN: | 204002311 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Klassifikation: | C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C22 Time-Series Models; Dynamic Quantile Regressions (Updated!) |
| C Mathematical and Quantitative Methods / C5 Econometric Modeling / C51 Model Construction and Estimation | |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
