cicyt UNIZAR
Full-text links:

Download:

Current browse context:

q-fin.RM

Change to browse by:

References & Citations

Bookmark

(what is this?)
CiteULike logo BibSonomy logo Mendeley logo del.icio.us logo Digg logo Reddit logo ScienceWISE logo

Quantitative Finance > Risk Management

Title: Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling

Abstract: This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance from the total process quadratic variation is confirmed by both simulated and empirical tests. For practical purposes, we introduce an iterative algorithm to estimate the time-varying volatility and the occurred jumps of log-return time series. Such estimates enable the definition of a new market risk model for the Value at Risk forecasting. We show empirically that this procedure outperforms the standard historical simulation method applying standard back-testing approach.
Comments: 30 pages, 29 figures, source code available at this https URL
Subjects: Risk Management (q-fin.RM)
Cite as: arXiv:1803.07021 [q-fin.RM]
  (or arXiv:1803.07021v1 [q-fin.RM] for this version)

Submission history

From: Luca Spadafora [view email]
[v1] Mon, 19 Mar 2018 16:29:29 GMT (2799kb,D)