Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/141428 
Autor:innen: 
Erscheinungsjahr: 
2015
Quellenangabe: 
[Journal:] European Financial and Accounting Journal [ISSN:] 1805-4846 [Volume:] 10 [Issue:] 2 [Publisher:] University of Economics, Faculty of Finance and Accounting [Place:] Prague [Year:] 2015 [Pages:] 5-11
Verlag: 
University of Economics, Faculty of Finance and Accounting, Prague
Zusammenfassung: 
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. We can not observe from which of the K phases our observations rt are. Therefore, we apply Gibbs sampler to estimate parameters from our data. In the latter approach, we apply Dubins and Schwarz theorem (Kallenberg, 2000), which allows us to re-scale our portfolio returns rt and to get normal distributed returns rJt ~ N(0;Jt ). To verify our approaches, we make an empirical application.
Schlagwörter: 
Data augmentation
Gibbs sampler
Quadratic variation
Time changed Brownian motion
JEL: 
C15
C53
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Article

Datei(en):
Datei
Größe
56.8 kB





Publikationen in EconStor sind urheberrechtlich geschützt.