A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102134
Abstract: Abstract In the present paper we discuss the forecasting ability of the VaR model, within the context of a Generalized Autoregressive Score (GAS). The proposed method considers an Asymmetric Laplace Distribution (GAS-ALD) to describe the… read more here.
Keywords: laplace distribution; distribution; generalized autoregressive; autoregressive score ... See more keywords
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Sign Up to like & getrecommendations! Published in 2020 at "International Journal of Forecasting"
DOI: 10.1016/j.ijforecast.2019.10.007
Abstract: Abstract A new framework for the joint estimation and forecasting of dynamic value at risk (VaR) and expected shortfall (ES) is proposed by our incorporating intraday information into a generalized autoregressive score (GAS) model introduced… read more here.
Keywords: generalized autoregressive; autoregressive score; risk measures; risk ... See more keywords