Conditional density and value-at-risk prediction of Asian currency exchange rates

Journal of Forecasting

Volumn 19, Issue 4, 2000, Pages 313-333

  Mittnik, Stefan ^a   Paolella, Marc S ^a  

^a UNIVERSITY OF KIEL   (Germany)

Author keywords

Conditional density prediction; Fat tails; GARCH; Value at Risk; Weighted likelihood

Indexed keywords

EID: 0001535268     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131X(200007)19:4<313::AID-FOR776>3.0.CO;2-E     Document Type: Article

References (31)

1. Andersen TG, Bollerslev T. 1998. Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 39(4).
2. Anderson T, Darling D. 1952. Asymptotic theory of certain 'goodness of fit' criteria based on stochastic processes. The Annals of Mathematical Statistics 23: 193-212.
3. Basle Committee on Banking Supervision. 1999. The New Rules for Capital Adequacy.
4. Bougerol P, Picard N. 1992. Stationarity of GARCH processes and of some non-negative time series. Journal of Econometrics 52: 115-127.
5. Brockwell PJ, Davis RA. 1991. Time Series: Theory and Methods, 2nd edn. Springer-Verlag: Berlin.
6. Brooks C. 1997. Linear and non-linear (non-) forecastability of high-frequency exchange rates. Journal of Forecasting 16: 125-145.
7. Cao CQ, Tsay RS. 1992. Nonlinear time-series analysis of stock volatilities. Journal of Applied Econometrics 7: 165-185.
8. Ding Z, Granger CWJ, Engle RF. 1993. A long memory property of stock market returns and a new model. Journal of Empirical Finance 1: 83-106.
9. Engle RF, Bollerslev T. 1986. Modelling the persistence of conditional variances. Econometric Reviews 5: 1-50; 81-87.
10. Fama E. 1965. The behavior of stock market prices. Journal of Business 38: 34-105.
11. Gourieroux C. 1997. ARCH Models and Financial Applications. Springer, New York.
12. Granger CWJ, Ding Z. 1995. Some properties of absolute return, an alternative measure of risk. Annales D'économie et de Statistique, 40: 67-91.
13. Guillaume DM, Dacorogna MM, Davé RR, Müller UA, Olsen RB, Pictet OV. 1997. From the bird's eye to the microscope: a survey of new stylized facts of the intra-daily foreign exchange markets. Finance and Stocliastics 1: 95-129.
14. He C, Teräsvirta T. 1999. Statistical properties of the asymmetric power ARCH process. In Coinlegralion, Causality and Forecasting. Festschrift in honour of Clive IV. J. Granger, Engle RF, White H (eds). Oxford University Press: Oxford.
15. Hurvich C, Tsai C. 1989. Regression and time series model selection in small samples. Biometrika 76: 297-307.
16. Knight J, Satchell S (eds) 1998. Forecasting Volatility in the Financial Markets. Butterworth-Heinemann: Oxford.
17. Mandelbrot B. 1963. The variation of certain speculative prices. Journal of Business 36: 394-419.
18. McDonald JB, Newey WK. 1988. Partially adaptive estimation of regression models via the generalized t distribution. Econometric Theory 4: 428-457.
19. Mittnik S, Paolella M, Rachev S. 1998. The prediction of down-side market risk with GARCH-stable models. Working Paper 118, Institute of Statistics and Econometrics, University of Kiel.
20. Mittnik S, Rachev ST. 2000. Stable Models in Finance. John Wiley: Chichester.
21. Nelson DB, Foster DB. 1994. Asymptotic filtering theory for univariate ARCH models. Econometrica 62: 1-41.
22. Palm FC. 1997. GARCH models of volatility. In Handbook of Statistics, Volume 14, Maddala G, Rao C (eds). Elsevier Science: New York.
23. Paolella M. 1997. Tail Estimation and Conditional Modeling of Heteroscedastic Time-Series. PhD thesis, Institute of Statistics and Econometrics, Christian Albrechts University at Kiel.
24. Pesaran MH, Timmermann A. 1999. Model instability and choice of observation window. Working paper, Department of Economics, University of California, San Diego.
25. Rachev S, Mittnik S. 1993. Modeling asset returns with alternative stable models. Econometric Reviews 12: 261-330.
26. Rozelle J, Fielitz B. 1980. Skewness in common stock returns. Financial Review 15: 1-23.
27. Schwert WG. 1989. Why does stock market volatility change over time? Journal of Finance 44: 1115-1153.
28. St Pierre EF. 1993. The Importance of Skewness and Kurtosis in the Time-Series of Security Returns. PhD thesis, The Florida State University College of Business.
29. Tanaka K. 1996. Time Series Analysis, Nonstationary and Noninvertible Distribution Theory. John Wiley: New York.
30. Taylor S. 1986. Modelling Financial Time Series. John Wiley: New York.
31. Teräsvirta T. 1996. Two stylized facts and the GARCH(1,1) model. Working Paper 96, Stockholm School of Economics.