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Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?

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Abstract:

This paper introduces the effect of the crossed products of Hermite polynomials on Gram-Charlier densities. This allows capturing the impact of the interaction between skewness and kurtosis and evaluating this new parameter as an additional source of information for risk management. We show that our modified Gram-Charlier density presents an improved accuracy, especially at distribution tails. Risk quantification is assessed for S&P500 losses with backtesting procedures for Value-at-Risk and Median Shortfall.

Tópico:

Financial Risk and Volatility Modeling

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Citations: 4
4

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Información de la Fuente:

SCImago Journal & Country Rank
FuenteFinance research letters
Cuartil año de publicaciónNo disponible
Volumen49
IssueNo disponible
Páginas103105 - 103105
pISSNNo disponible
ISSN1544-6123

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