A corrected value-at-risk predictor

Applied Economics Letters

Volumn 17, Issue 12, 2010, Pages 1193-1196

  Lönnbark, Carl ^a  

^a UMEÅ UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC ANALYSIS; ERROR CORRECTION; PREDICTION; RISK ASSESSMENT;

EID: 77954855579     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/17446540902817619     Document Type: Article

References (9)

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3. Christoffersen, P. and Goncalves, S. (2005) Estimation risk in financial risk management, Journal of Risk, 7,1-28.
4. Hansen, B. E. (2006) Interval forecasts and parameter uncertainty, Journal of Econometrics, 135, 377-98.
5. Hartz C., Mittnik, S. and Paolella, M. (2006) Accurate value-at-risk forecasting based on the normal-GARCH model, Computational Statistics & Data Analysis, 51, 2295-312.
6. 2: measuring the risk in value at risk, Financial Analysts Journal, 52, 47-56.
7. Jorion, P. (2007) Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edn, McGraw-Hill, New York.
8. Schaller, P. (2002) Uncertainty of parameter estimates in VAR calculations. Bank Austria Working Paper BA-RISK-20020419, Vienna.
9. Tsay, R. S. (2005) Analysis of Financial Time Series, 2nd edn, John Wiley & Sons, Inc., Hoboken, New Jersey.