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Value-at-risk performance in emerging and developed countries
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| Zeitschriftentitel: | International Journal of Managerial Finance |
|---|---|
| Personen und Körperschaften: | , , , , |
| In: | International Journal of Managerial Finance, 14, 2018, 5, S. 591-612 |
| Format: | E-Article |
| Sprache: | Englisch |
| veröffentlicht: |
Emerald
|
| Schlagwörter: |
| author_facet |
Gaio, Luiz Eduardo Pimenta Júnior, Tabajara Lima, Fabiano Guasti Passos, Ivan Carlin Stefanelli, Nelson Oliveira Gaio, Luiz Eduardo Pimenta Júnior, Tabajara Lima, Fabiano Guasti Passos, Ivan Carlin Stefanelli, Nelson Oliveira |
|---|---|
| author |
Gaio, Luiz Eduardo Pimenta Júnior, Tabajara Lima, Fabiano Guasti Passos, Ivan Carlin Stefanelli, Nelson Oliveira |
| spellingShingle |
Gaio, Luiz Eduardo Pimenta Júnior, Tabajara Lima, Fabiano Guasti Passos, Ivan Carlin Stefanelli, Nelson Oliveira International Journal of Managerial Finance Value-at-risk performance in emerging and developed countries Finance Business, Management and Accounting (miscellaneous) |
| author_sort |
gaio, luiz eduardo |
| spelling |
Gaio, Luiz Eduardo Pimenta Júnior, Tabajara Lima, Fabiano Guasti Passos, Ivan Carlin Stefanelli, Nelson Oliveira 1743-9132 Emerald Finance Business, Management and Accounting (miscellaneous) http://dx.doi.org/10.1108/ijmf-10-2017-0244 <jats:sec> <jats:title content-type="abstract-subheading">Purpose</jats:title> <jats:p>The purpose of this paper is to evaluate the predictive capacity of market risk estimation models in times of financial crises.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title> <jats:p>For this, value-at-risk (VaR) valuation models applied to the daily returns of portfolios composed of stock indexes of developed and emerging countries were tested. The Historical Simulation VaR model, multivariate ARCH models (BEKK, VECH and constant conditional correlation), artificial neural networks and copula functions were tested. The data sample refers to the periods of two international financial crises, the Asian Crisis of 1997, and the US Sub Prime Crisis of 2008.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Findings</jats:title> <jats:p>The results pointed out that the multivariate ARCH models (VECH and BEKK) and Copula-Clayton had similar performance, with good adjustments in 100 percent of the tests. It was not possible to perceive significant differences between the adjustments for developed and emerging countries and of the crisis and normal periods, which was different to what was expected.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Originality/value</jats:title> <jats:p>Previous studies focus on the estimation of VaR by a group of models. One of the contributions of this paper is to use several forms of estimation.</jats:p> </jats:sec> Value-at-risk performance in emerging and developed countries International Journal of Managerial Finance |
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10.1108/ijmf-10-2017-0244 |
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Emerald, 2018 |
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2018 |
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Emerald |
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International Journal of Managerial Finance |
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49 |
| title |
Value-at-risk performance in emerging and developed countries |
| title_unstemmed |
Value-at-risk performance in emerging and developed countries |
| title_full |
Value-at-risk performance in emerging and developed countries |
| title_fullStr |
Value-at-risk performance in emerging and developed countries |
| title_full_unstemmed |
Value-at-risk performance in emerging and developed countries |
| title_short |
Value-at-risk performance in emerging and developed countries |
| title_sort |
value-at-risk performance in emerging and developed countries |
| topic |
Finance Business, Management and Accounting (miscellaneous) |
| url |
http://dx.doi.org/10.1108/ijmf-10-2017-0244 |
| publishDate |
2018 |
| physical |
591-612 |
| description |
<jats:sec>
<jats:title content-type="abstract-subheading">Purpose</jats:title>
<jats:p>The purpose of this paper is to evaluate the predictive capacity of market risk estimation models in times of financial crises.</jats:p>
</jats:sec>
<jats:sec>
<jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title>
<jats:p>For this, value-at-risk (VaR) valuation models applied to the daily returns of portfolios composed of stock indexes of developed and emerging countries were tested. The Historical Simulation VaR model, multivariate ARCH models (BEKK, VECH and constant conditional correlation), artificial neural networks and copula functions were tested. The data sample refers to the periods of two international financial crises, the Asian Crisis of 1997, and the US Sub Prime Crisis of 2008.</jats:p>
</jats:sec>
<jats:sec>
<jats:title content-type="abstract-subheading">Findings</jats:title>
<jats:p>The results pointed out that the multivariate ARCH models (VECH and BEKK) and Copula-Clayton had similar performance, with good adjustments in 100 percent of the tests. It was not possible to perceive significant differences between the adjustments for developed and emerging countries and of the crisis and normal periods, which was different to what was expected.</jats:p>
</jats:sec>
<jats:sec>
<jats:title content-type="abstract-subheading">Originality/value</jats:title>
<jats:p>Previous studies focus on the estimation of VaR by a group of models. One of the contributions of this paper is to use several forms of estimation.</jats:p>
</jats:sec> |
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| _version_ | 1792327418070958081 |
| author | Gaio, Luiz Eduardo, Pimenta Júnior, Tabajara, Lima, Fabiano Guasti, Passos, Ivan Carlin, Stefanelli, Nelson Oliveira |
| author_facet | Gaio, Luiz Eduardo, Pimenta Júnior, Tabajara, Lima, Fabiano Guasti, Passos, Ivan Carlin, Stefanelli, Nelson Oliveira, Gaio, Luiz Eduardo, Pimenta Júnior, Tabajara, Lima, Fabiano Guasti, Passos, Ivan Carlin, Stefanelli, Nelson Oliveira |
| author_sort | gaio, luiz eduardo |
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| container_title | International Journal of Managerial Finance |
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| description | <jats:sec> <jats:title content-type="abstract-subheading">Purpose</jats:title> <jats:p>The purpose of this paper is to evaluate the predictive capacity of market risk estimation models in times of financial crises.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title> <jats:p>For this, value-at-risk (VaR) valuation models applied to the daily returns of portfolios composed of stock indexes of developed and emerging countries were tested. The Historical Simulation VaR model, multivariate ARCH models (BEKK, VECH and constant conditional correlation), artificial neural networks and copula functions were tested. The data sample refers to the periods of two international financial crises, the Asian Crisis of 1997, and the US Sub Prime Crisis of 2008.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Findings</jats:title> <jats:p>The results pointed out that the multivariate ARCH models (VECH and BEKK) and Copula-Clayton had similar performance, with good adjustments in 100 percent of the tests. It was not possible to perceive significant differences between the adjustments for developed and emerging countries and of the crisis and normal periods, which was different to what was expected.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Originality/value</jats:title> <jats:p>Previous studies focus on the estimation of VaR by a group of models. One of the contributions of this paper is to use several forms of estimation.</jats:p> </jats:sec> |
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| spelling | Gaio, Luiz Eduardo Pimenta Júnior, Tabajara Lima, Fabiano Guasti Passos, Ivan Carlin Stefanelli, Nelson Oliveira 1743-9132 Emerald Finance Business, Management and Accounting (miscellaneous) http://dx.doi.org/10.1108/ijmf-10-2017-0244 <jats:sec> <jats:title content-type="abstract-subheading">Purpose</jats:title> <jats:p>The purpose of this paper is to evaluate the predictive capacity of market risk estimation models in times of financial crises.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title> <jats:p>For this, value-at-risk (VaR) valuation models applied to the daily returns of portfolios composed of stock indexes of developed and emerging countries were tested. The Historical Simulation VaR model, multivariate ARCH models (BEKK, VECH and constant conditional correlation), artificial neural networks and copula functions were tested. The data sample refers to the periods of two international financial crises, the Asian Crisis of 1997, and the US Sub Prime Crisis of 2008.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Findings</jats:title> <jats:p>The results pointed out that the multivariate ARCH models (VECH and BEKK) and Copula-Clayton had similar performance, with good adjustments in 100 percent of the tests. It was not possible to perceive significant differences between the adjustments for developed and emerging countries and of the crisis and normal periods, which was different to what was expected.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Originality/value</jats:title> <jats:p>Previous studies focus on the estimation of VaR by a group of models. One of the contributions of this paper is to use several forms of estimation.</jats:p> </jats:sec> Value-at-risk performance in emerging and developed countries International Journal of Managerial Finance |
| spellingShingle | Gaio, Luiz Eduardo, Pimenta Júnior, Tabajara, Lima, Fabiano Guasti, Passos, Ivan Carlin, Stefanelli, Nelson Oliveira, International Journal of Managerial Finance, Value-at-risk performance in emerging and developed countries, Finance, Business, Management and Accounting (miscellaneous) |
| title | Value-at-risk performance in emerging and developed countries |
| title_full | Value-at-risk performance in emerging and developed countries |
| title_fullStr | Value-at-risk performance in emerging and developed countries |
| title_full_unstemmed | Value-at-risk performance in emerging and developed countries |
| title_short | Value-at-risk performance in emerging and developed countries |
| title_sort | value-at-risk performance in emerging and developed countries |
| title_unstemmed | Value-at-risk performance in emerging and developed countries |
| topic | Finance, Business, Management and Accounting (miscellaneous) |
| url | http://dx.doi.org/10.1108/ijmf-10-2017-0244 |