Nonparametric Inference of Value at Risk for Dependent Financial Returns

Thumbnail Image
Date
2004-03-01
Authors
Chen, Song
Tang, Cheng
Major Professor
Advisor
Committee Member
Journal Title
Journal ISSN
Volume Title
Publisher
Authors
Research Projects
Organizational Units
Organizational Unit
Statistics
As leaders in statistical research, collaboration, and education, the Department of Statistics at Iowa State University offers students an education like no other. We are committed to our mission of developing and applying statistical methods, and proud of our award-winning students and faculty.
Journal Issue
Is Version Of
Versions
Series
Department
Statistics
Abstract

The paper considers nonparametric estimation of Value at Risk (VaR) and associated standard error estimation for dependent financial returns. Theoretical properties of the kernel VaR estimator are investigated in the context of dependence. The presence of dependence affects the variance of the VaR estimates and has to be taken into consideration in order to obtain adequate assessment of their variation. An estimation procedure of the standard errors is proposed based on kernel estimation of the spectral density of a derived series. The performance of the VaR estimators and the proposed standard error estimation procedure are evaluated by theoretical investigation, simulation of commonly used models for financial returns, and empirical studies on real financial return series.

Comments

This preprint was published as Song Xi Chen and Cheng Yong Tang, "Nonparametric Inference of Value-at-Risk for Dependent Financial Returns", Journal of Financial Econometrics (2005): 227-255, doi: 10.1093/jjfinec/nbi012

Description
Keywords
Citation
DOI
Subject Categories
Copyright
Collections