Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data

Journal of Empirical Finance

Volumn 15, Issue 5, 2008, Pages 868-877

  Jalal, Amine ^a   Rockinger, Michael ^a  

^a SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

Backtesting; Expected shortfall; Extreme value theory; GARCH; Jump diffusion; Markov switching; Value at Risk (VaR)

Indexed keywords

EID: 52249108072     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2008.02.004     Document Type: Article

References (45)

1. Artzner P., Delbaen F., Eber J., and Heath D. Thinking coherently. Risk 10 11 (2000) 68-71
2. Balkema A., and de Haan L. Residual life time at great age. Annals of Probability 2 (1974) 792-804
3. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
4. Bühlmann. Blockwise bootstrapped empirical process for stationary sequences. Annals of Statistics 22 (1994) 994-1012
5. Bühlmann P., and Künsch H. Block length selection in the bootstrap for time series. Computational Statistics and Data Analysis 31 (1999) 295-310
6. Danielsson J., de Haan L., Peng L., and de Vries C.G. Using a bootstrap method to choose the sample fraction in tail index estimation. Working Paper (1998), Erasmus University Rotterdam
7. Danielsson J., and de Vries C.G. Tail index and quantile estimation with very high frequency data. Journal of Empirical Finance 4 (1997) 241-257
8. Davison A., and Hinkley D. Bootstrap Methods and Their Application (1997), Cambridge University Press, Cambridge, UK
9. de Haan L., Resnick S.T., Rootzén H., and de Vries C.G. Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes. Stochastic Processes and their Applications 32 (1989) 213-224
10. Diebold F.X., Gunther T.A., and Tay A.S. Evaluating density forecasts with applications to financial risk management. International Economic Review 39 4 (1998) 863-883
11. Dueker M.J. Markov switching in GARCH processes and mean-reverting stock market volatility. Journal of Business & Economic Statistics 15 (1997) 26-34
12. Efron B., and Tibshirani R. An Introduction to Bootstrap (1993), Chapman and Hall, New York
13. Embrechts P., Klüppelberg C., and Mikosch T. Modelling Extremal Events for Insurance and Finance (1997), Springer, Berlin
14. Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50 4 (1982) 987-1007
15. Gonzalo J., and Olmo J. Which extreme values are really extreme?. Journal of Financial Econometrics 2 (2004) 349-369
16. Gouriéroux C., Monfort A., and Trognon A. Pseudo maximum likelihood methods: theory. Econometrica 52 3 (1984) 681-700
17. Gray S.F. Modeling the conditional distribution of interest rates as regime-switching process. Journal of Financial Economics 42 (1996) 27-62
18. Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57 (1989) 357-384
19. Hamilton J.D., and Lin G. Stock market volatility and the business cycle. Journal of Applied Econometrics 11 (1996) 573-593
20. Hamilton J.D., and Susmel R. Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics 64 (1994) 307-333
21. Hill B.M. A simple general approach to inference about the tail of a distribution. Annals of Statistics 3 (1975) 1163-1173
22. Hols M.C.A.B., and de Vries C.G. The limiting distribution of extremal exchange rate returns. Journal of Applied Econometrics 6 (1991) 287-302
23. Hsing T. On tail index estimation using dependent data. The Annals of Statistics 19 3 (1991) 1547-1569
24. Huisman R., Koedijk K.G., Kool C.J.M., and Palm F. Tail-index estimates in small samples. Journal of Business and Economic Statistics 19 (2001) 208-216
25. Jondeau E., and Rockinger M. Testing for differences in the tails of stock-market returns. Journal of Empirical Finance 10 (2003) 559-581
26. Kitagawa G. Non-Gaussian state-space modeling of nonstationary time series. Journal of the American Statistical Association (1987) 1032-1041
27. Künsch H. The jacknife and the bootstrap for general stationary observations. Annals of Statistics 17 (1989) 1217-1241
28. Leadbetter M.R., Lindgren G., and Rootzén H. Extremes and Related Properties of Random Sequences and Processes (1983), Springer Verlag, New York
29. Liu R.Y., and Singh K. Moving blocks jacknife and bootstrap capture weak dependence. In: LePage R., and Billard L. (Eds). Exploring the Limits of Bootstrap (1992), John Wiley, New York 225-248
30. Longin F.M. The asymptotic distribution of extreme stock market returns. Journal of Business 69 (1996) 383-408
31. Mandelbrot B. The variability of certain speculative prices. Journal of Business 36 (1963) 394-414
32. McNeil A.J., and Frey R. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. Journal of Empirical Finance 7 (2000) 271-300
33. Mikosch T., and Stariça C. Limit theory for the sample autocorrelations and extremes of a GARCH(1,1) process. The Annals of Statistics 28 (2000) 1427-1451
34. Nelson D.B. Conditional heteroscedasticity in asset returns: a new approach. Econometrica 59 2 (1991) 347-370
35. Pan J. Stochastic Volatility with Reset at Jumps (1997), Graduate School of Business, Stanford, CA 94305
36. Pickands J. Statistical inference using extreme order statistics. Annals of Statistics 3 (1975) 119-131
37. Politis D.N., and Romano J.P. A general resampling scheme for triangular arrays of α-mixing random variables with application to the problem of spectral density estimation. The Annals of Statistics 20 (1992) 1985-2007
38. Politis D.N., and Romano J.P. In: LePage R., and Billard L. (Eds). A circular block-resampling procedure for stationary data, in exploring the limits of bootstrap (1992), John Wiley, New York 263-270
39. Politis D.N., and Romano J.P. Bias-corrected nonparametric spectral estimation. Journal of Time Series Analysis 16 (1995) 67-103
40. Politis D., and White H. Automatic block-length selection for the dependent bootstrap. Econometric Reviews 23 (2004) 53-70
41. Quintos C., Fan Z., and Phillips P.C.B. Structural change tests in tail behaviour and the Asian crisis. Review of Economic Studies 68 (2001) 633-663
42. Reiss R.D., and Thomas M. Statistical Analysis of Extreme Values (1997), Birkhäuser, Basel
43. Smith R.L. Maximum likelihood estimation in a class of non-regular cases. Biometrika 72 (1985) 67-90
44. Timmermann A. Moments of Markov switching models. Journal of Econmetrics 96 (2000) 75-111
45. van Norden S., and Schaller H. Regime switching in stock market returns. Applied Financial Economics 7 (1997) 177-191