Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications

Esther B. Del Brio, Andrés Mora-Valencia and Javier Perote

The European Journal of Finance, 2019, vol. 25, issue 17, 1746-1764

Abstract: This paper studies the risk assessment of semi-nonparametric (SNP) distributions for leveraged exchange trade funds, (L)ETFs. We applied the SNP model with dynamic conditional correlations (DCC) and EGARCH innovations, and implement recent techniques to backtest Expected Shortfall (ES) to portfolios formed by bivariate combinations of major (L)ETFs on metal (Gold and Silver) and energy (Oil and Gas) commodities. Results support that multivariate SNP-DCC model outperforms the Gaussian-DCC and provides accurate risk measures for commodity (L)ETFs.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:25:y:2019:i:17:p:1746-1764

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DOI: 10.1080/1351847X.2018.1559213

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