Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/26130 |
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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-riskHill statisticRank-size statisticValue-at-riskTail index estimationDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis 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.Rodrigues, Paulo Manuel MarquesRUNMaruhashi, Jin2017-12-04T14:09:03Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfhttp://hdl.handle.net/10362/26130TID:201714736enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:13:42Zoai:run.unl.pt:10362/26130Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:25.627403Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk |
title |
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk |
spellingShingle |
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk Maruhashi, Jin Hill statistic Rank-size statistic Value-at-risk Tail index estimation Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk |
title_full |
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk |
title_fullStr |
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk |
title_full_unstemmed |
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk |
title_sort |
Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk |
author |
Maruhashi, Jin |
author_facet |
Maruhashi, Jin |
author_role |
author |
dc.contributor.none.fl_str_mv |
Rodrigues, Paulo Manuel Marques RUN |
dc.contributor.author.fl_str_mv |
Maruhashi, Jin |
dc.subject.por.fl_str_mv |
Hill statistic Rank-size statistic Value-at-risk Tail index estimation Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Hill statistic Rank-size statistic Value-at-risk Tail index estimation Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
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. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-12-04T14:09:03Z 2017-01-20 2017-01-20T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/26130 TID:201714736 |
url |
http://hdl.handle.net/10362/26130 |
identifier_str_mv |
TID:201714736 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799137909769502720 |