Value at Risk, Outliers and Chaotic Dynamics

Reference : Value at Risk, Outliers and Chaotic Dynamics


	Document type :	Parts of books : Contribution to collective works
	Discipline(s) :	Business & economic sciences : Finance
	To cite this reference:	http://hdl.handle.net/10993/16752

Title :	Value at Risk, Outliers and Chaotic Dynamics
Language :	English
Author, co-author :	Kyrtsou, catherine []
	Terraza, Virginie [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Publication date :	2008
Main document title :	Computational Finance and its Applications III
Editor :	COSTANTINO, M.
	LARRAN, M.
Publisher :	WIT Press
Collection and collection volume :	volume 41
Peer reviewed :	No
ISBN :	978-1-84564-111-5
City :	Southampton
Country :	UK
Keywords :	[en] Mackey-Glass-GARCH ; VaR ; noisy chaos ; outliers ; non linearity
Abstract :	[en] Financial returns series typically exhibit excess kurtosis and volatility clustering. GARCH models are often applied to describe these two stylised facts. Nevertheless, applications of these processes to stock returns have shown that they cannot capture all excess kurtosis, high Jarque-Bera and inherent non-linearity. The aim of this work is to suggest a new non-linear framework for the calculation of the Value-at-Risk. As it has been demonstrated in Kyrtsou and Terraza V. (2004) the use of a mixed non-linear model in the estimation of VaR can improve the obtained results. In this paper we apply the traditional VaR-GARCH and the VaR-Mackey-Glass-GARCH models both to the initial and the filtered Nikkei returns series without outliers.
Research centres :	CREA
Target :	Researchers ; Professionals ; Students
Permalink :	http://hdl.handle.net/10993/16752

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