TY - JOUR
T1 - An empirical comparison among VaR models and time rules with elliptical and stable distributed returns
AU - Lamantia, Fabio
AU - Ortobelli, Sergio
AU - Rachev, Svetlozar
PY - 2006
Y1 - 2006
N2 - 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.
AB - 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.
KW - Backtest analysis
KW - Elliptical distributions
KW - Stable distributions
KW - Time aggregation rules
UR - http://www.scopus.com/inward/record.url?scp=33750565304&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:33750565304
SN - 1810-4967
VL - 3
SP - 8
EP - 29
JO - Investment Management and Financial Innovations
JF - Investment Management and Financial Innovations
IS - 3
ER -