出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper compares and investigates the impact of different VaR models with conditional elliptical and stable distributed returns.In particular,we analyze some non-Gaussian VaR models and discuss the applicability of some temporal aggregation rules.Thus,we propose and examine the performance of several VaR models:(i)an EWMA model with Student's t conditional distributions,(ii)a stable sub-Gaussian model,(iii)a stable asymmetric model.All models are subjected to backtest on out-of-sample data in order to assess their forecasting power and to show how the associated aggregation rules are performed in practice.
