127
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

A corrected Value-at-Risk predictor

Pages 1193-1196 | Published online: 22 Jul 2009

References

  • Bao , Y. and Ullah , A. 2004 . Bias of a value-at-risk estimator . Finance Research Letters , 1 : 241 – 9 .
  • Chan , N. H. , Deng , S.-J. , Peng , L. and Xia , Z. 2007 . Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations . Journal of Econometrics , 137 : 556 – 76 .
  • Christoffersen , P. and Gonçalves , S. 2005 . Estimation risk in financial risk management . Journal of Risk , 7 : 1 – 28 .
  • Hansen , B. E. 2006 . Interval forecasts and parameter uncertainty . Journal of Econometrics , 135 : 377 – 98 .
  • 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 .
  • Jorion , P. 1996 . Risk2: measuring the risk in value at risk . Financial Analysts Journal , 52 : 47 – 56 .
  • Jorion , P. 2007 . Value at Risk: The New Benchmark for Managing Financial Risk , 3rd , New York : McGraw-Hill .
  • Schaller, P. (2002) Uncertainty of parameter estimates in VAR calculations. Bank Austria Working Paper BA-RISK-20020419, Vienna.
  • Tsay , R. S. 2005 . Analysis of Financial Time Series , 2nd , Hoboken, , New Jersey : John Wiley & Sons, Inc .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.