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

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dc.contributor.authorGórka, Joannapl
dc.date.accessioned2014-11-07T08:50:45Z
dc.date.available2014-11-07T08:50:45Z
dc.date.issued2009-07-18pl
dc.description.abstractAccurate 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.en
dc.identifier.citationDynamic Econometric Models, Vol. 9, pp. 39-50pl
dc.identifier.issn1234-3862pl
dc.identifier.otherdoi:10.12775/DEM.2009.004pl
dc.identifier.urihttp://repozytorium.umk.pl/handle/item/2234
dc.language.isoengpl
dc.rightsAttribution-NoDerivs 3.0 Polandpl
dc.rightsinfo:eu-repo/semantics/openAccesspl
dc.rights.urihttp://creativecommons.org/licenses/by-nd/3.0/pl/pl
dc.subjectFamily of Sign RCA Modelsen
dc.subjectrisk measuresen
dc.subjectValue at Risken
dc.subjectExpected Shortfallen
dc.titleApplication of the Family of Sign RCA Models for Obtaining the Selected Risk Measurespl
dc.typeinfo:eu-repo/semantics/articlepl

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