Publicação
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk
| Resumo: | This study peruses the leptokurtic evolution of regional banking indices belonging to the Americas, Asia, Australasia and Europe from 1973-2016 as measured by the tail index in order to assess the impact of tail index variation on VaR. Breaks in are detected under the testing framework proposed by Quintos et al. (2001) combined with both the originally suggested Hill estimator and, as an innovation, the newly proposed rank-size statistic. It was concluded that changes in led to material differences in VaR and the new test statistic showed superior statistical power over the Hill statistic. |
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| Autores principais: | Maruhashi, Jin |
| Assunto: | Hill statistic Rank-size statistic Value-at-risk Tail index estimation |
| Ano: | 2017 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This study peruses the leptokurtic evolution of regional banking indices belonging to the Americas, Asia, Australasia and Europe from 1973-2016 as measured by the tail index in order to assess the impact of tail index variation on VaR. Breaks in are detected under the testing framework proposed by Quintos et al. (2001) combined with both the originally suggested Hill estimator and, as an innovation, the newly proposed rank-size statistic. It was concluded that changes in led to material differences in VaR and the new test statistic showed superior statistical power over the Hill statistic. |
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