Empirical likelihood-based evaluations of value at risk models

Zheng Hong Wei; Song Qiao Wen; Lixing ZHU

doi:10.1007/s11425-009-0050-6

Empirical likelihood-based evaluations of value at risk models

Zheng Hong Wei^*, Song Qiao Wen, Lixing ZHU

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

3 Citations (Scopus)

Abstract

Value at Risk (VaR) is a basic and very useful tool in measuring market risks. Numerous VaR models have been proposed in literature. Therefore, it is of great interest to evaluate the efficiency of these models, and to select the most appropriate one. In this paper, we shall propose to use the empirical likelihood approach to evaluate these models. Simulation results and real life examples show that the empirical likelihood method is more powerful and more robust than some of the asymptotic method available in literature.

Original language	English
Pages (from-to)	1995-2006
Number of pages	12
Journal	Science China Mathematics
Volume	52
Issue number	9
DOIs	https://doi.org/10.1007/s11425-009-0050-6
Publication status	Published - Sept 2009

Scopus Subject Areas

Mathematics(all)

User-Defined Keywords

Empirical likelihood
Non-nested test
Specification test
Value at Risk
Volatility

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10.1007/s11425-009-0050-6

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title = "Empirical likelihood-based evaluations of value at risk models",

abstract = "Value at Risk (VaR) is a basic and very useful tool in measuring market risks. Numerous VaR models have been proposed in literature. Therefore, it is of great interest to evaluate the efficiency of these models, and to select the most appropriate one. In this paper, we shall propose to use the empirical likelihood approach to evaluate these models. Simulation results and real life examples show that the empirical likelihood method is more powerful and more robust than some of the asymptotic method available in literature.",

keywords = "Empirical likelihood, Non-nested test, Specification test, Value at Risk, Volatility",

author = "Wei, {Zheng Hong} and Wen, {Song Qiao} and Lixing ZHU",

note = "Funding Information: The work was supported by Guangdong Natural Science Foundation (Grant No. 2008276) and a grant from the Research Grants Council of Hong Kong, China",

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T1 - Empirical likelihood-based evaluations of value at risk models

AU - Wei, Zheng Hong

AU - Wen, Song Qiao

AU - ZHU, Lixing

N1 - Funding Information: The work was supported by Guangdong Natural Science Foundation (Grant No. 2008276) and a grant from the Research Grants Council of Hong Kong, China

PY - 2009/9

Y1 - 2009/9

N2 - Value at Risk (VaR) is a basic and very useful tool in measuring market risks. Numerous VaR models have been proposed in literature. Therefore, it is of great interest to evaluate the efficiency of these models, and to select the most appropriate one. In this paper, we shall propose to use the empirical likelihood approach to evaluate these models. Simulation results and real life examples show that the empirical likelihood method is more powerful and more robust than some of the asymptotic method available in literature.

AB - Value at Risk (VaR) is a basic and very useful tool in measuring market risks. Numerous VaR models have been proposed in literature. Therefore, it is of great interest to evaluate the efficiency of these models, and to select the most appropriate one. In this paper, we shall propose to use the empirical likelihood approach to evaluate these models. Simulation results and real life examples show that the empirical likelihood method is more powerful and more robust than some of the asymptotic method available in literature.

KW - Empirical likelihood

KW - Non-nested test

KW - Specification test

KW - Value at Risk

KW - Volatility

UR - http://www.scopus.com/inward/record.url?scp=70349525019&partnerID=8YFLogxK

U2 - 10.1007/s11425-009-0050-6

DO - 10.1007/s11425-009-0050-6

M3 - Journal article

AN - SCOPUS:70349525019

SN - 1674-7283

VL - 52

SP - 1995

EP - 2006

JO - Science China Mathematics

JF - Science China Mathematics

IS - 9

ER -

Empirical likelihood-based evaluations of value at risk models

Abstract

Scopus Subject Areas

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