A corrected Value-at-Risk predictor

Carl Lonnbark

Applied Economics Letters, 2010, vol. 17, issue 12, 1193-1196

Abstract: In this article, it is argued that the estimation error in Value-at-Risk (VaR) predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

Date: 2010
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DOI: 10.1080/17446540902817619

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