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

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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

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