ebooks logo journals logo reference works logo abstract databases logo
bullet  SIGN IN Register | Why Register? | Got a Voucher? alerts   marked lists   shopping cart 

informaworld

HOME   |   SEARCH   |   BROWSE
    Issues List       Latest Issue       Forthcoming Articles       Volume 5 Issue 2       Subscribe       Article       References       Cited By       Related articles      
<< firstfirst   < prevprev   Table of contentstoc   next >next   last >>last
Publisher Logo Publication Cover
Search within this journal

Estimating value-at-risk: a point process approach 

Authors: V. Chavez-Demoulin a;  A. C. Davison b; A. J. McNeil a
Affiliations:   a Department of Mathematics, ETH-Zentrum, Zuumlrich, Switzerland
b Institute of Mathematics, Ecole Polytechnique Feacutedeacuterale de Lausanne, Lausanne, Switzerland
DOI: 10.1080/14697680500039613
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 5, Issue 2 April 2005 , pages 227 - 234
Number of References: 25
Formats available: HTML (English) : PDF (English)
Article Requests: Order Reprints : Request Permissions


Abstract

We consider the modelling of extreme returns in financial time series, and introduce a marked point process model for the exceedances of a high threshold. This model has a self-exciting, Hawkes-process structure in which recent events affect the current intensity of threshold exceedances more than distant ones. Estimates of value-at-risk are derived for real datasets and the success of the estimation method is evaluated in backtests.
view references (25) : view citations
Bookmark with:
  • CiteULike
  • Del.icio.us
  • BibSonomy
  • Connotea
  • More bookmarks
Privacy Policy | Terms & Conditions | Accessibility | RSS
FAQs in: English . Français . Español . 中文(简体和繁體)
© 2009 Informa plc