No full text
Scientific conference in universities or research centers (Scientific conferences in universities or research centers)
A new methodological approach for error distributions selection
Hambuckers, julien; Heuchenne, Cédric
2013
 

Files


Full Text
No document available.

Send to



Details



Keywords :
error distribution; variance misspecification; selection test; nonparametric
Abstract :
[en] Since 2008 and its financial crisis, an increasing attention has been devoted to the selection of an adequate error distribution in risk models, in particular for Value-at-Risk (VaR) predictions. We propose a robust methodology to select the most appropriate error distribution candidate, in a classical multiplicative heteroscedastic model. In a first step, unlike to the traditional approach, we do not use any GARCH-type estimation of the conditional variance. Instead, we propose to use a recently developed nonparametric procedure: the Local Adaptive Volatility Estimation (LAVE). The motivation for using this method is to avoid a possible model misspecification for the conditional variance. In a second step, we suggest a set of estimation and model selection procedures tests based on the so-obtained residuals. These methods enable to assess the global fit of a given distribution as well as to focus on its behaviour in the tails. Finally, we illustrate our methodology on three time series (UBS stock returns, BOVESPA returns and EUR/USD exchange rates).
Research center :
QuantOM
Disciplines :
Quantitative methods in economics & management
Author, co-author :
Hambuckers, julien ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Statistique appliquée à la gestion et à l'économie
Heuchenne, Cédric ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Statistique appliquée à la gestion et à l'économie
Language :
English
Title :
A new methodological approach for error distributions selection
Publication date :
November 2013
Event name :
IAP Project StUDyS seminars 2012-2017
Event organizer :
ULg - Université de Liège
Event place :
Liège, Belgium
Event date :
22 novembre 2013
Audience :
International
Funders :
F.R.S.-FNRS - Fonds de la Recherche Scientifique [BE]
Available on ORBi :
since 18 December 2013

Statistics


Number of views
64 (15 by ULiège)
Number of downloads
0 (0 by ULiège)

Bibliography


Similar publications



Contact ORBi