umu.sePublikasjoner
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
On Risk Prediction
Umeå universitet, Samhällsvetenskaplig fakultet, Nationalekonomi.
2009 (engelsk)Doktoravhandling, med artikler (Annet vitenskapelig)
Abstract [en]

This thesis comprises four papers concerning risk prediction.

Paper [I] suggests a nonlinear and multivariate time series model

framework that enables the study of simultaneity in returns and in

volatilities, as well as asymmetric effects arising from shocks. Using

daily data 2000-2006 for the Baltic state stock exchanges and that of

Moscow we find recursive structures with Riga directly depending in

returns on Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities

both Riga and Vilnius depend on Tallinn. In addition, we find evidence

of asymmetric effects of shocks arising in Moscow and in the Baltic states

on both returns and volatilities.

Paper [II] argues that the estimation error in Value at Risk predictors

gives rise to underestimation of portfolio risk. A simple correction is

proposed and in an empirical illustration it is found to be economically

relevant.

Paper [III] studies some approximation approaches to computing the

Value at Risk and the Expected Shortfall for multiple period asset re-

turns. Based on the result of a simulation experiment we conclude that

among the approaches studied the one based on assuming a skewed t dis-

tribution for the multiple period returns and that based on simulations

were the best. We also found that the uncertainty due to the estimation

error can be quite accurately estimated employing the delta method. In

an empirical illustration we computed five day Value at Risk's for the

S&P 500 index. The approaches performed about equally well.

Paper [IV] argues that the practise used in the valuation of the port-

folio is important for the calculation of the Value at Risk. In particular,

when liquidating a large portfolio the seller may not face horizontal de-

mandcurves. We propose a partially new approach for incorporating

this fact in the Value at Risk and in an empirical illustration we compare

it to a competing approach. We find substantial differences.

sted, utgiver, år, opplag, sider
Umeå: Umeå universitet , 2009.
Serie
Umeå economic studies, ISSN 0348-1018 ; 770
Emneord [en]
Finance, Time series, GARCH, Estimation error, Asymmetry, Supply and demand
HSV kategori
Forskningsprogram
ekonometri
Identifikatorer
URN: urn:nbn:se:umu:diva-22200OAI: oai:DiVA.org:umu-22200DiVA, id: diva2:213646
Disputas
2009-05-20, S312, Samhällsvetarhuset , Umeå Universitet, Umeå, 10:15 (engelsk)
Opponent
Veileder
Tilgjengelig fra: 2009-04-29 Laget: 2009-04-27 Sist oppdatert: 2018-06-08bibliografisk kontrollert
Delarbeid
1. Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges
Åpne denne publikasjonen i ny fane eller vindu >>Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges
2012 (engelsk)Inngår i: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 16, nr 1, s. 22Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find recursive structures with Riga directly depending in returns on Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities both Riga and Vilnius depend on Tallinn. In addition,we find evidence of asymmetric effects of shocks arising in Moscow and in the Baltic state on both returns and volatilities.

sted, utgiver, år, opplag, sider
Walter de Gruyter, 2012. s. 22
Emneord
Time series, nonlinear, multivariate, finance, value at risk, portfolio allocation
HSV kategori
Forskningsprogram
ekonometri
Identifikatorer
urn:nbn:se:umu:diva-22196 (URN)10.1515/1558-3708.1855 (DOI)
Utgiver:
Institutionen för nationalekonomi, 90187, Umeå
Tilgjengelig fra: 2009-04-28 Laget: 2009-04-27 Sist oppdatert: 2018-06-08bibliografisk kontrollert
2. A corrected value-at-risk predictor
Åpne denne publikasjonen i ny fane eller vindu >>A corrected value-at-risk predictor
2010 (engelsk)Inngår i: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 17, nr 12, s. 1193-1196Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and in an empirical illustration we find that it is economically relevant.

HSV kategori
Identifikatorer
urn:nbn:se:umu:diva-22197 (URN)10.1080/17446540902817619 (DOI)000280264200012 ()
Tilgjengelig fra: 2009-04-27 Laget: 2009-04-27 Sist oppdatert: 2018-06-08bibliografisk kontrollert
3. Uncertainty of multiple period risk predictors
Åpne denne publikasjonen i ny fane eller vindu >>Uncertainty of multiple period risk predictors
2009 (engelsk)Rapport (Annet vitenskapelig)
sted, utgiver, år, opplag, sider
Umeå: Umeå universitet, 2009. s. 56
Serie
Umeå economic studies, ISSN 0348-1018 ; 768
HSV kategori
Identifikatorer
urn:nbn:se:umu:diva-22198 (URN)
Utgiver:
Institutionen för nationalekonomi, 90187, Umeå
Tilgjengelig fra: 2009-04-27 Laget: 2009-04-27 Sist oppdatert: 2018-06-08
4. Value at risk for large portfolios
Åpne denne publikasjonen i ny fane eller vindu >>Value at risk for large portfolios
2011 (engelsk)Inngår i: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 8, nr 2, s. 18s. 59-68Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

We argue that the practise used in the valuation of the portfolio is important for the calculation of the Value at Risk. In particular, when liquidating a large portfolio the seller may not face horizontal demand curves. We propose a partially new approach for incorporating this fact in the Value at Risk and in an empirical illustration we compare it to a competing approach. We find substantial differences.

sted, utgiver, år, opplag, sider
Elsevier, 2011. s. 18
Emneord
Demand, Supply, Liquidity Risk, Limit Order Book, Bank, Sweden
HSV kategori
Forskningsprogram
ekonometri
Identifikatorer
urn:nbn:se:umu:diva-22199 (URN)10.1016/j.frl.2010.10.002 (DOI)
Utgiver:
Institutionen för nationalekonomi, 90187, Umeå
Tilgjengelig fra: 2009-04-28 Laget: 2009-04-27 Sist oppdatert: 2018-06-08bibliografisk kontrollert

Open Access i DiVA

fulltekst(230 kB)735 nedlastinger
Filinformasjon
Fil FULLTEXT01.pdfFilstørrelse 230 kBChecksum SHA-512
ce9a1591f963e70b8443f7641c4cf2c22a9a9b606be9c36fcb01e4cf05ce00536f939611507f8e1db8b609d505327d6eca9f2863d837ae19aeff470f10cdfb7f
Type fulltextMimetype application/pdf

Personposter BETA

Lönnbark, Carl

Søk i DiVA

Av forfatter/redaktør
Lönnbark, Carl
Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 735 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

urn-nbn

Altmetric

urn-nbn
Totalt: 716 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf