An empirical comparison among VaR models and time rules with elliptical and stable distributed returns

Fabio Lamantia, Sergio Ortobelli, Svetlozar Rachev

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

This paper compares and investigates the impact of different VaR models with conditional elliptical and stable distributed returns. In particular, we analyze some non-Gaussian VaR models and discuss the applicability of some temporal aggregation rules. Thus, we propose and examine the performance of several VaR models: (i) an 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 the associated aggregation rules are performed in practice.

Original languageEnglish
Pages (from-to)8-29
Number of pages22
JournalInvestment Management and Financial Innovations
Volume3
Issue number3
StatePublished - 2006

Keywords

  • Backtest analysis
  • Elliptical distributions
  • Stable distributions
  • Time aggregation rules

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