Time-varying conditional Johnson Su density in value-at-risk methodology

Time-varying conditional Johnson Su density in value-at-risk methodology

Value-at-Risk (VaR) is a standard method of forecasting future losses in a portfolio of financial assets. An alternative method of estimating VaR using time-varying conditional Johnson SU distribution is introduced in this paper, and the method is compared with other existing VaR models. Two estimat...

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Pubblicato in:The Philippine Review of Economics Vol. 52, no. 1 (June 2015), p. 23-44.
Autori principali: Cayton, Peter Julian A. (Autore), Mapa, Dennis S. (Autore)
Natura: Analytics
Lingua:English
Pubblicazione: [Quezon City] School of Economics, University of the Philippines 2015.
Soggetti:
Income forecasting > Econometric models > Philippines.
Financial risk management > Econometric models > Philippines.
Financial risk > Econometric models > Philippines.
Risk management > Philippines.
Estimation theory.
Accesso online:https://forms.gle/KZjBv7aRtY6jiL5E9