Authors: | Loukeris, Nikolaos Eleftheriadis, Iordanis Avdoulas, Christos Bekiros, Stelios |
Issue Date: | 15-Feb-2019 |
Journal: | Computational Economics |
Volume: | 53 |
Issue: | 2 |
Keywords: | Expected shortfall, Forecast evaluation, Risk measurement |
Abstract: | Parametric, 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 opti... |
ISSN: | 1572-9974 0927-7099 |
DOI: | 10.1007/s10614-017-9766-5 |
URI: | https://uniwacris.uniwa.gr/handle/3000/2192 |
Type: | Article |
Department: | Department of Business Administration |
School: | School of Administrative, Economics and Social Sciences |
Affiliation: | University of West Attica (UNIWA) |
Appears in Collections: | Articles / Άρθρα |
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