On the existence of an optimal estimation window for risk measures

Detalhes bibliográficos
Autor(a) principal: Righi, Marcelo Brutti
Data de Publicação: 2016
Outros Autores: Ceretta, Paulo Sérgio
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UFRGS
Texto Completo: http://hdl.handle.net/10183/142274
Resumo: We investigate whether there can exist an optimal estimation window for financial risk measures. Accordingly, we propose a procedure that achieves optimal estimation window by minimizing estimation bias. Using results from a Monte Carlo simulation for Value at Risk and Expected Shortfall in distinct scenarios, we conclude that the optimal length for the estimation window is not random but has very clear patterns. Our findings can contribute to the literature, as studies have typically neglected the estimation window choice or relied on arbitrary choices. Citation:
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spelling Righi, Marcelo BruttiCeretta, Paulo Sérgio2016-06-04T02:09:19Z20161545-2921http://hdl.handle.net/10183/142274000988443We investigate whether there can exist an optimal estimation window for financial risk measures. Accordingly, we propose a procedure that achieves optimal estimation window by minimizing estimation bias. Using results from a Monte Carlo simulation for Value at Risk and Expected Shortfall in distinct scenarios, we conclude that the optimal length for the estimation window is not random but has very clear patterns. Our findings can contribute to the literature, as studies have typically neglected the estimation window choice or relied on arbitrary choices. Citation:application/pdfengEconomics bulletin. Nashville. Vol. 36, n. 1 (2016), p. 1-9Risco financeiroBolsa de valoresOn the existence of an optimal estimation window for risk measuresEstrangeiroinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRGSinstname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSORIGINAL000988443.pdf000988443.pdfTexto completo (inglês)application/pdf518162http://www.lume.ufrgs.br/bitstream/10183/142274/1/000988443.pdf6dad97705a9a30a5ad61c3b49b57e2b5MD51TEXT000988443.pdf.txt000988443.pdf.txtExtracted Texttext/plain14967http://www.lume.ufrgs.br/bitstream/10183/142274/2/000988443.pdf.txt6de7cd553b0860c9be244e3b87915929MD52THUMBNAIL000988443.pdf.jpg000988443.pdf.jpgGenerated Thumbnailimage/jpeg1426http://www.lume.ufrgs.br/bitstream/10183/142274/3/000988443.pdf.jpg099007b2e557de66964fdc5bfe2d910eMD5310183/1422742021-09-18 04:41:31.143268oai:www.lume.ufrgs.br:10183/142274Repositório de PublicaçõesPUBhttps://lume.ufrgs.br/oai/requestopendoar:2021-09-18T07:41:31Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.pt_BR.fl_str_mv On the existence of an optimal estimation window for risk measures
title On the existence of an optimal estimation window for risk measures
spellingShingle On the existence of an optimal estimation window for risk measures
Righi, Marcelo Brutti
Risco financeiro
Bolsa de valores
title_short On the existence of an optimal estimation window for risk measures
title_full On the existence of an optimal estimation window for risk measures
title_fullStr On the existence of an optimal estimation window for risk measures
title_full_unstemmed On the existence of an optimal estimation window for risk measures
title_sort On the existence of an optimal estimation window for risk measures
author Righi, Marcelo Brutti
author_facet Righi, Marcelo Brutti
Ceretta, Paulo Sérgio
author_role author
author2 Ceretta, Paulo Sérgio
author2_role author
dc.contributor.author.fl_str_mv Righi, Marcelo Brutti
Ceretta, Paulo Sérgio
dc.subject.por.fl_str_mv Risco financeiro
Bolsa de valores
topic Risco financeiro
Bolsa de valores
description We investigate whether there can exist an optimal estimation window for financial risk measures. Accordingly, we propose a procedure that achieves optimal estimation window by minimizing estimation bias. Using results from a Monte Carlo simulation for Value at Risk and Expected Shortfall in distinct scenarios, we conclude that the optimal length for the estimation window is not random but has very clear patterns. Our findings can contribute to the literature, as studies have typically neglected the estimation window choice or relied on arbitrary choices. Citation:
publishDate 2016
dc.date.accessioned.fl_str_mv 2016-06-04T02:09:19Z
dc.date.issued.fl_str_mv 2016
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dc.relation.ispartof.pt_BR.fl_str_mv Economics bulletin. Nashville. Vol. 36, n. 1 (2016), p. 1-9
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