Perfeziona i miei risultati

Robust value at risk prediction

Mancini, Loriano ; Trojani, Fabio

In: Journal of financial econometrics, 2011, vol. 9, no. 2, p. 281-313

This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that controls bootstrap instability due to outlying observations. A Monte Carlo simulation shows that our robust method provides more accurate VaR...