Since 2014
Short- And Long-Term Value-At-Risk, Skewness, Kurtosis and Coherent Risk Measure
Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
Short- And Long-Term Value-At-Risk, Skewness, Kurtosis and Coherent Risk Measure
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| Creator |
Li, Weiping
Chi, Guotai Meng, Bin |
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| Description |
Standard risk management focuses on short-run risks rather than longer periods. We introduce an improved risk measure which can be used to estimate both short-and long-term structure of value at risk and the corresponding expected shortfall. The short- and long-term coherent measure of risk is specified and computed for both S&P 500, HSI and SHSZ 300. We also test long-term skewness and kurtosis from empirical analysis for S&P 500, HSI and SHSZ 300. We also show that our improved risk measure gives a better estimate of the value at risk for short horizons and never decreases to negative values like VaR for long-run horizons. Both long-term skewness and kurtosis for HSI and SHSZ 300 are analyzed empirically.
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| Publisher |
Redfame Publishing
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| Contributor |
—
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| Date |
2016-04-07
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://redfame.com/journal/index.php/aef/article/view/1528
10.11114/aef.v3i3.1528 |
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| Source |
Applied Economics and Finance; Vol 3, No 3 (2016); 65-80
2332-7308 2332-7294 |
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| Language |
eng
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| Relation |
http://redfame.com/journal/index.php/aef/article/view/1528/1546
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