TY - JOUR
T1 - VaR, CVaR and time rules with elliptical and asymmetric stable distributed returns
AU - Lamantia, Fabio
AU - Ortobelli, Sergio
AU - Rachev, Svetlozar
PY - 2006
Y1 - 2006
N2 - This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional elliptically distributed returns. Secondly, we examine several new models based on different stable Paretian distributional hypotheses of return portfolios. Finally, we discuss the applicability of temporal aggregation rules for each VaR and CVaR model proposed.
AB - This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional elliptically distributed returns. Secondly, we examine several new models based on different stable Paretian distributional hypotheses of return portfolios. Finally, we discuss the applicability of temporal aggregation rules for each VaR and CVaR model proposed.
KW - Domain of attraction
KW - Elliptical distributions
KW - Stable distribution
KW - Time aggregation rules
UR - http://www.scopus.com/inward/record.url?scp=58149501418&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:58149501418
SN - 1810-4967
VL - 3
SP - 19
EP - 39
JO - Investment Management and Financial Innovations
JF - Investment Management and Financial Innovations
IS - 4
ER -