IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v15y2012i04ns021902491250029x.html
   My bibliography  Save this article

Multivariate Heavy-Tailed Models For Value-At-Risk Estimation

Author

Listed:
  • CARLO MARINELLI

    (Facoltà di Economia, Università di Bolzano, Piazza Università 1, I-39100 Bolzano, Italy)

  • STEFANO D'ADDONA

    (Department of International Studies, University of Rome 3, Via G. Chiabrera, 199, I-00145 Rome, Italy)

  • SVETLOZAR T. RACHEV

    (Department of Applied Mathematics & Statistics, Stony Brook University, Stony Brook, NY 11794-3600, USA)

Abstract

For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different indices of tail thickness. After a discussion of relevant estimation and simulation issues, we conduct a backtesting study on a set of portfolios containing derivative instruments, using historical US stock price data.

Suggested Citation

  • Carlo Marinelli & Stefano D'Addona & Svetlozar T. Rachev, 2012. "Multivariate Heavy-Tailed Models For Value-At-Risk Estimation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-32.
    • Handle: RePEc:wsi:ijtafx:v:15:y:2012:i:04:n:s021902491250029x
    DOI: 10.1142/S021902491250029X
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S021902491250029X
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S021902491250029X?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. John C. Frain, 2008. "Value at Risk (VaR) and the alpha-stable distribution," Trinity Economics Papers tep0308, Trinity College Dublin, Department of Economics, revised May 2008.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak, 2023. "Heterogeneous tail generalized common factor modeling," Digital Finance, Springer, vol. 5(2), pages 389-420, June.
    2. Hediger, Simon & Näf, Jeffrey, 2024. "Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns," Journal of Empirical Finance, Elsevier, vol. 77(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      Corrections

      All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:15:y:2012:i:04:n:s021902491250029x. See general information about how to correct material in RePEc.

      If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

      If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

      For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

      Please note that corrections may take a couple of weeks to filter through the various RePEc services.

      IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.