Powered by OpenAIRE graph
Found an issue? Give us feedback
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Journal of Internati...arrow_drop_down
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Journal of International Money and Finance
Article . 2005 . Peer-reviewed
License: Elsevier TDM
Data sources: Crossref
SSRN Electronic Journal
Article . 2002 . Peer-reviewed
Data sources: Crossref
SSRN Electronic Journal
Article . 2003 . Peer-reviewed
Data sources: Crossref
versions View all 6 versions
addClaim

An Evaluation Framework for Alternative VaR Models

Authors: Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C;

An Evaluation Framework for Alternative VaR Models

Abstract

In this paper we investigate the ability of different models to produce useful var-estimates for exchange rate positions. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted var. We make this uncertainty in the var explicit by means of simulation. Our empirical results suggest that more sophisticated tail-modeling approaches come at the cost of more uncertainty about the var-estimate itself. We show how to adjust var calculations in order to take the parameter uncertainty into account. This is accomplished through a data-driven method to deliver not just a point estimate of the var, but a region.

Country
Netherlands
Keywords

estimation risk; exchange rate positions; fat tail distributions; financial time series; GARCH; value-at-risk, jel: jel:C52, jel: jel:C22, jel: jel:G10

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    29
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    Average
Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
29
Top 10%
Top 10%
Average
Upload OA version
Are you the author of this publication? Upload your Open Access version to Zenodo!
It’s fast and easy, just two clicks!