Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2017-11-01T05:02:11Z | - |
dc.date.available | 2017-11-01T05:02:11Z | - |
dc.date.issued | 2017 | * |
dc.identifier.issn | 1350-4851 | * |
dc.identifier.issn | 1466-4291 | * |
dc.identifier.other | OAK-21400 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/239129 | - |
dc.description.abstract | Forecasts of values at risk (VaRs) are made for volatility indices such as the VIX for the US S&P 500 index, the VKOSPI for the KOSPI (Korea Stock Price Index) and the OVX (oil volatility index) for crude oil funds, which is the first in the literature. In the forecasts, dominant features of the volatility indices are addressed: long memory, conditional heteroscedasticity, asymmetry and fat-tails. An out-of-sample comparison of the VaR forecasts is made in terms of violation probabilities, showing better performance of the proposed method than several competing methods which consider the features differently from ours. The proposed method is composed of heterogeneous autoregressive model for the mean, GARCH model for the volatility and skew-t distribution for the error. | * |
dc.language | English | * |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & | * |
dc.publisher | FRANCIS LTD | * |
dc.subject | Conditional heteroscedasticity | * |
dc.subject | HAR model | * |
dc.subject | long-memory | * |
dc.subject | skew-t distribution | * |
dc.subject | VaR | * |
dc.subject | volatility index | * |
dc.title | Value at risk forecasting for volatility index | * |
dc.type | Article | * |
dc.relation.issue | 21 | * |
dc.relation.volume | 24 | * |
dc.relation.index | SSCI | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 1613 | * |
dc.relation.lastpage | 1620 | * |
dc.relation.journaltitle | APPLIED ECONOMICS LETTERS | * |
dc.identifier.doi | 10.1080/13504851.2017.1366631 | * |
dc.identifier.wosid | WOS:000413725300019 | * |
dc.identifier.scopusid | 2-s2.0-85027881596 | * |
dc.author.google | Park, Seul-Ki | * |
dc.author.google | Choi, Ji-Eun | * |
dc.author.google | Shin, Dong Wan | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |