Mozumder, Sharif, Kabir, M. Humayun, Dempsey, Michael and Choudhry, Taufiq (2019) Risk management under time varying volatility and Pareto-stable distributions. Applied Economics Letters. (doi:10.1080/13504851.2019.1612025).
Abstract
Risk measures based on Gaussian return distributions are simple but inaccurate while such measures based on alternative methodologies are known to be more precise but complex. In this context, practitioners seem biased towards simplicity and tend to choose the inaccurate Gaussian measures, leading to unsuspected losses in the event of a negative episode. This article proposes generalized autoregressive conditional heteroskedasticity (GARCH) family models with stable Paretian innovations in measuring the value-at-risk, expected shortfall and spectral risk measures that promise a markedly improved performance while maintaining simplicity.
More information
Identifiers
Catalogue record
Export record
Altmetrics
Contributors
University divisions
- Current Faculties > Faculty of Social Sciences > Southampton Business School > Banking and Finance
Southampton Business School > Banking and Finance - Faculties (pre 2018 reorg) > Faculty of Business, Law and Art (pre 2018 reorg) > Southampton Business School (pre 2018 reorg)
Current Faculties > Faculty of Social Sciences > Southampton Business School > Southampton Business School (pre 2018 reorg)
Southampton Business School > Southampton Business School (pre 2018 reorg) - Current Faculties > Faculty of Social Sciences > Southampton Business School > Decision Analytics and Risk > Centre for Risk Research (CRR)
Southampton Business School > Decision Analytics and Risk > Centre for Risk Research (CRR)
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.