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High quantiles estimation with Quasi-PORT and DPOT:an application to value-at-risk for financial variables

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dc.contributor.authorSantos, Paulo Araújo
dc.contributor.authorAlves, Isabel Fraga
dc.contributor.authorHammoudeh, Shawkat
dc.date.accessioned2020-07-10T14:06:02Z
dc.date.available2020-07-10T14:06:02Z
dc.date.issued2013
dc.description.abstractRecurrent “black swans” financial events are a major concern for both investors and regulators because of the extreme price changes they cause, despite their very low probability of occurrence. In this paper, we use unconditional and conditional methods, such as the recently proposed high quantile (HQ) extreme value theory (EVT) models of DPOT (Duration-based Peak Over Threshold) and quasi-PORT (peaks over random threshold), to estimate the Value-at-Risk with very small probability values for an adequately long and major financial time series to obtain a reasonable number of violations for backtesting. We also compare these models and other alternative strategies through an out-of-sample accuracy investigation to determine their relative performance within the HQ context. Policy implications relevant to estimation of risk for extreme events are also provided.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationSantos, P. A., Alves, I. F., & Hammoudeh, S. (2013). High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables. North American Journal of Economics & Finance, 26, 487–496. doi: 10.1016/j.najef.2013.02.017pt_PT
dc.identifier.doi10.1016/j.najef.2013.02.017pt_PT
dc.identifier.issn1062-9408
dc.identifier.urihttp://hdl.handle.net/10400.15/2978
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/abs/pii/S1062940813000326pt_PT
dc.subjectFinancial time seriespt_PT
dc.subjectHigh quantilespt_PT
dc.subjectQuantitative risk managementpt_PT
dc.subjectStatistics of extremespt_PT
dc.titleHigh quantiles estimation with Quasi-PORT and DPOT:an application to value-at-risk for financial variablespt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage496pt_PT
oaire.citation.startPage487pt_PT
oaire.citation.titleThe North American Journal of Economics and Financept_PT
oaire.citation.volume26pt_PT
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT

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