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Titel
Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Autor(es)
Schlagwort
Gram-charlier expansions
Skewness
Kurtosis
Value-at-risk
Median shortfall
Backtesting
Clasificación UNESCO
5308 Economía General
Fecha de publicación
2022
Verlag
Elsevier
Citación
Jiménez, I., Mora-Valencia, A., & Perote, J. (2022). Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? Finance Research Letters, 49, 103105. https://doi.org/10.1016/j.frl.2022.103105
Resumen
[EN] This paper introduces the effect of the crossed products of Hermite polynomials on Gram-Charlier
densities. This allows capturing the impact of the interaction between skewness and kurtosis and
evaluating this new parameter as an additional source of information for risk management. We
show that our modified Gram-Charlier density presents an improved accuracy, especially at
distribution tails. Risk quantification is assessed for S&P500 losses with backtesting procedures
for Value-at-Risk and Median Shortfall.
URI
ISSN
1544-6123
DOI
10.1016/j.frl.2022.103105
Versión del editor
Aparece en las colecciones
Patrocinador
Publicación en abierto financiada por la Universidad de Salamanca como participante en el Acuerdo Transformativo CRUE-CSIC con Elsevier, 2021-2024