DC FieldValueLanguage
dc.contributor.authorLoukeris, Nikolaos-
dc.contributor.authorEleftheriadis, Iordanis-
dc.contributor.authorAvdoulas, Christos-
dc.contributor.authorBekiros, Stelios-
dc.date.accessioned2024-04-22T10:17:23Z-
dc.date.available2024-04-22T10:17:23Z-
dc.date.issued2019-02-15-
dc.identifierscopus-85032809222-
dc.identifier.issn1572-9974-
dc.identifier.issn0927-7099-
dc.identifier.other85032809222-
dc.identifier.urihttps://uniwacris.uniwa.gr/handle/3000/2192-
dc.description.abstractParametric, simulation-based and hybrid methods are utilized to estimate various risk measures such as Value-at-Risk (VaR), Conditional VaR and coherent Expected Shortfall. An exhaustive backtesting analysis is performed for London’s FTSE 100 index and a comparative evaluation of the predictability of the investigated models is performed with the use of various statistical tests. We show that optimal tail risk forecasting necessitates that many factors be considered such as asset structure and capitalization and specific market conditions i.e., normal or crisis periods. Specifically, for large capitalization stocks and long investment horizons parametric modeling accounted for relatively better risk estimation in normal quantiles, whilst for short-term trading strategies, the non-parametric methods are more suitable for measuring extreme tail risk of small-cap stocks.en_US
dc.language.isoenen_US
dc.relation.ispartofComputational Economicsen_US
dc.subjectExpected shortfallen_US
dc.subjectForecast evaluationen_US
dc.subjectRisk measurementen_US
dc.titleTail-Related Risk Measurement and Forecasting in Equity Marketsen_US
dc.typeArticleen_US
dc.identifier.doi10.1007/s10614-017-9766-5en_US
dc.identifier.scopus2-s2.0-85032809222-
dcterms.accessRights0en_US
dc.relation.deptDepartment of Business Administrationen_US
dc.relation.facultySchool of Administrative, Economics and Social Sciencesen_US
dc.relation.volume53en_US
dc.relation.issue2en_US
dc.identifier.spage783en_US
dc.identifier.epage816en_US
dc.collaborationUniversity of West Attica (UNIWA)en_US
dc.subject.fieldSocial Sciencesen_US
dc.journalsSubscriptionen_US
dc.publicationPeer Revieweden_US
dc.countryGreeceen_US
local.metadatastatusverifieden_US
item.cerifentitytypePublications-
item.languageiso639-1en-
item.openairetypeArticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextNo Fulltext-
item.grantfulltextnone-
crisitem.author.deptDepartment of Business Administration-
crisitem.author.facultySchool of Administrative, Economics and Social Sciences-
crisitem.author.orcid0000-0002-1891-8245-
crisitem.author.parentorgSchool of Administrative, Economics and Social Sciences-
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