Show simple item record

2007-01-16Buch DOI: 10.18452/4021
Robust Risk Management
dc.contributor.authorChen, Ying
dc.contributor.authorSpokoiny, Vladimir
dc.date.accessioned2017-06-15T23:21:05Z
dc.date.available2017-06-15T23:21:05Z
dc.date.created2007-01-17
dc.date.issued2007-01-16
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4673
dc.description.abstractIn the ideal Black-Scholes world, financial time series are assumed 1) stationary (time homogeneous) and 2) having conditionally normal distribution given the past. These two assumptions have been widely-used in many methods such as the RiskMetrics, one risk management method considered as industry standard. However these assumptions are unrealistic. The primary aim of the paper is to account for nonstationarity and heavy tails in time series by presenting a local exponential smoothing approach, by which the smoothing parameter is adaptively selected at every time point and the heavy-tailedness of the process is considered. A complete theory addresses both issues. In our study, we demonstrate the implementation of the proposed method in volatility estimation and risk management given simulated and real data. Numerical results show the proposed method delivers accurate and sensitive estimates.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectExponential Smoothingeng
dc.subjectSpatial Aggregationeng
dc.subject.ddc330 Wirtschaft
dc.titleRobust Risk Management
dc.typebook
dc.subtitleAccounting for Nonstationarity and Heavy Tails
dc.identifier.urnurn:nbn:de:kobv:11-10074991
dc.identifier.doihttp://dx.doi.org/10.18452/4021
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages41
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue2
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

Show simple item record