Prediction and assessment of multivariate asset price distributions with applications to value at risk

Prediction and assessment of multivariate asset price distributions with applications to value at risk
Document type
Report
Author(s)
Hodges, Stewart
Publisher
ESRC
Date of publication
1 December 2001
Subject(s)
Trends: economic, social and technology trends affecting business
Collection
Business and management
Material type
Reports

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This report summarises the findings of a research project funded by the Economic and Social Research Council (ESRC) investigating plausible ways of producing forecasts for the multivariate distribution of financial asset returns, as well as appropriate testing procedures to assess ex-post the 'goodness' of the forecasts. In particular, the attention is focused on the application of density forecasting to Value at Risk (VaR) models. Since in VaR models hundreds of risk factors are usually involved, the analysis tries to identify estimation and testing techniques for multivariate density forecasts that, besides possessing good statistical properties, can find practical implementation in a truly high-dimensional framework. 

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