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Cited by 373

The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.

Value‐at‐risk for long and short trading positions

Open access
Giot, Pierre, Laurent, Sébastien·2003·Journal of Applied Econometrics
DOI 10.1002/jae.710
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Abstract

In this paper we model Value‐at‐Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed density models when the left and right tails of the distribution of returns must be modelled. Thus, VaR for traders having both long and short positions is not adequately modelled using usual normal or Student distributions. We suggest using an APARCH model based on the skewed Student distribution (combined with a time‐varying correlation in the multivariate case) to fully take into account the fat left and right tails of the returns distribution. This allows for an adequate modelling of large returns defined on long and short trading positions. The performances of the univariate models are assessed on daily data for three international stock indexes and three US stocks of the Dow Jones index. In a second application, we consider a portfolio of three US stocks and model its long and short VaR using a multivariate skewed Student density. Copyright © 2003 John Wiley & Sons, Ltd.

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Metadata

Authors
Giot, P., & Laurent, S.
Venue
Journal of Applied Econometrics
Publisher
Wiley
Published
2003-05-02
Volume
18
Issue
6
Pages
641-663
ISSN
  • 0883-7252 (ISSN-L)
  • 1099-1255
DOI
10.1002/jae.710
OpenAlex
W2156908840
Cited by
373
References
34
FWCI
24.29
Type
journal article
Language
en
Open access
green

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