A corrected Value-at-Risk predictor

被引：7

作者：

Lonnbark, Carl ^{[1
]}

机构：

[1] Umea Univ, Dept Econ, SE-90187 Umea, Sweden

来源：

APPLIED ECONOMICS LETTERS | 2010年 / 17卷 / 12期

关键词：

D O I：

10.1080/17446540902817619

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this article, it is argued that the estimation error in Value-at-Risk (VaR) predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

引用

页码：1193 / 1196

页数：4

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