This paper investigates the effects of using temporal aggregation rules in the evaluation of the maximum portfolio loss. In particular, we propose and compare different time aggregation rules for VaR models. We implement time-scale transformations for: (i) a EWMA model with Student's t conditional distributions, (ii) a stable sub-Gaussian model, (iii) a stable asymmetric model. All models are subjected to backtest on out-of-sample data in order to assess their forecasting power and to show how these aggregation rules perform in practice.

Time-scale transformations: effects on VaR models

ORTOBELLI LOZZA, Sergio;
2004-01-01

Abstract

This paper investigates the effects of using temporal aggregation rules in the evaluation of the maximum portfolio loss. In particular, we propose and compare different time aggregation rules for VaR models. We implement time-scale transformations for: (i) a EWMA model with Student's t conditional distributions, (ii) a stable sub-Gaussian model, (iii) a stable asymmetric model. All models are subjected to backtest on out-of-sample data in order to assess their forecasting power and to show how these aggregation rules perform in practice.
book chapter - capitolo di libro
2004
Lamantia, Fabio; ORTOBELLI LOZZA, Sergio; Rachev, Svetlozar T.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/20198
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