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Type of Publication: | Journal article |
URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-290119 |
Author: | Halbleib, Roxana; Pohlmeier, Winfried |
Year of publication: | 2012 |
Published in: | Journal of Economic Dynamics and Control ; 36 (2012), 8. - pp. 1212-1228. - ISSN 0165-1889. - eISSN 1879-1743 |
DOI (citable link): | https://dx.doi.org/10.1016/j.jedc.2011.10.005 |
Summary: |
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we develop data-driven VaR approaches that are based on the principle of optimal combination and that provide robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis. Within a comprehensive comparative study we provide the latest piece of empirical evidence on the performance of a wide range of standard VaR approaches and highlight the overall outperformance of the newly developed methods.
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JEL Classification: | C21; C5; G01; G17; G28; G32 |
Subject (DDC): | 330 Economics |
Keywords: | Value-at-risk, Optimal forecast combination, Quantile regression, Method of moments, Financial crisis |
Link to License: | In Copyright |
Bibliography of Konstanz: | Yes |
HALBLEIB, Roxana, Winfried POHLMEIER, 2012. Improving the value at risk forecasts : theory and evidence from the financial crisis. In: Journal of Economic Dynamics and Control. 36(8), pp. 1212-1228. ISSN 0165-1889. eISSN 1879-1743. Available under: doi: 10.1016/j.jedc.2011.10.005
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Halbleib_290119.pdf | 766 |