Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures

dc.contributor.author	Górka, Joanna
dc.date.accessioned	2014-11-07T08:50:45Z
dc.date.available	2014-11-07T08:50:45Z
dc.date.issued	2009-07-18
dc.identifier.citation	Dynamic Econometric Models, Vol. 9, pp. 39-50
dc.identifier.issn	1234-3862
dc.identifier.other	doi:10.12775/DEM.2009.004
dc.identifier.uri	http://repozytorium.umk.pl/handle/item/2234
dc.description.abstract	Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected Shortfall (ES) measures. For models from the family of Sign RCA models and AR-GARCH model the one-step forecasts of VaR were calculated based on rolling estimates from the given model using different window sizes. To obtain the VaR and ES measures the filtered historical simulation was used in new version proposed by Christoffersen. The results were verified using backtesting and the loss function.
dc.language.iso	eng
dc.rights	Attribution-NoDerivs 3.0 Poland
dc.rights	info:eu-repo/semantics/openAccess
dc.rights.uri	http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject	Family of Sign RCA Models
dc.subject	risk measures
dc.subject	Value at Risk
dc.subject	Expected Shortfall
dc.title	Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
dc.type	info:eu-repo/semantics/article