Moments expansion densities for quantifying financial risk
Ñíguez, T.M. and Perote, J. 2017. Moments expansion densities for quantifying financial risk. 15th INFINITI Conference on International Finance. Valencia, Spain. Jun 2017
Ñíguez, T.M. and Perote, J. 2017. Moments expansion densities for quantifying financial risk. 15th INFINITI Conference on International Finance. Valencia, Spain. Jun 2017
Title | Moments expansion densities for quantifying financial risk |
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Authors | Ñíguez, T.M. and Perote, J. |
Type | Conference paper |
Abstract | We propose a novel semi-nonparametric distribution that is feasibly parameterized to represent the non-Gaussianities of the asset return distributions. Our Moments Expansion (ME) density presents gains in simplicity attributable to its innovative polynomials, which are defined by the difference between the nth power of the random variable and the nth moment of the density used as the basis. We show that the Gram-Charlier distribution is a particular case of the ME-type of densities. The latter being more tractable and easier to implement when quadratic transformations are used to ensure positiveness. In an empirical application to asset returns, the ME model outperforms both standard and non-Gaussian GARCH models along several risk forecasting dimensions. |
Keywords | GARCH; Gram-Charlier series; High-order moments; non-Gaussian distributions; Semi-nonparametric methods; Value-at-Risk. |
Year | 2017 |
Conference | 15th INFINITI Conference on International Finance |
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Time-Varying Semi-Nonparametric Distribution and Portfolio Performance
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Multivariate Approximations to Portfolio Return Distribution
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Pure higher-order effects in the portfolio choice model
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Exchange-Trade Funds Evaluation using Performance Measures Distribution
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Multivariate moments expansion density: application of the dynamic equicorrelation model
Ñíguez, T.M. and Perote, J. 2016. Multivariate moments expansion density: application of the dynamic equicorrelation model. Bank of Spain Working Papers Series. 1602 1602.
Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model
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Evaluating monthly volatility forecasts using proxies at different frequencies
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The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model
Ñíguez, T.M. and Perote, J. 2015. The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. 35th International Symposium on Forecasting. Riverside, USA. Jun 2015
Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation
Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2015. Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation. Bank of Spain Working Paper Series. 1520 1520.
Higher-order moments in the theory of diversifying and portfolio composition
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Higher-order Moments in the Theory of Diversification and Portfolio Composition
Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2014. Higher-order Moments in the Theory of Diversification and Portfolio Composition. XV Conference on International Economics, Spanish Association of International Economics and Finance. Salamanca, Spain. May 2014
The Moments Expansion Density
Ñíguez, T.M. and Perote, J. 2014. The Moments Expansion Density. 10th BMRC-DEMS Conference. Brunel University, London, UK. May 2014
The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model
Ñíguez, T.M. and Perote, J. 2014. The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. Annual International Finance and Banking Conference, International Finance and Banking Society. Lisbon, Portugal. Jun 2014
Linking social media, intelligent agents and expert systems for formulating open innovation strategies for software development
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Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions
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On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
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An analysis of the decision for plunging using log-SNP distributed asset returns
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A new proposal for computing portfolio valueat-risk for semi-nonparametric distributions
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Are the high-order moments of the assets returns distribution forecastable?
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Multivariate Semi-nonparametric Distributions with Dynamic Conditional Correlations
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Multivariate distributions based on general moments expansions: evidence from exchange rates
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Multivariate distributions based on general moments expansions: evidence from exchange rates
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Multivariate distributions based on general moments expansions: evidence from exchange rates
Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. International risk management conference. Amsterdam, Netherlands. June 2011
Multivariate distributions based on general moments expansions: evidence from exchange rates
Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. Workshop in time series econometrics. Zaragoza, Spain. April 2011
On the stability of the CRRA utility under high degrees of uncertainty
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Forecasting the unconditional and conditional kurtosis of the asset returns distribution
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The SNP-DCC model: a new methodology for risk management and forecasting
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2010. The SNP-DCC model: a new methodology for risk management and forecasting. European financial management association annual conference. Aarhus, Denmark. June 2010
The SNP-DCC model: a new methodology for risk management and forecasting
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2010. The SNP-DCC model: a new methodology for risk management and forecasting. Fundación de las Cajas de Ahorros.
Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution
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Estimating the Dynamics of Interest Rates in the Japanese Economy
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Gram-Charlier Densities: A Multivariate Approach
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Multivariate semi-nonparametric densities with dynamic conditional correlations
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2009. Multivariate semi-nonparametric densities with dynamic conditional correlations. 29th International Symposium on Forecasting. Hong Kong, China. June 2009
Volatility and VaR Forecasting in the Madrid Stock Exchange
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The general moments expansion and its applications for financial risk
Ñíguez, T.M. and Perote, J. 2008. The general moments expansion and its applications for financial risk. 2nd International Workshop on Computational and Financial Econometrics. Neuchâtel, Switzerland. June 2008
Predicting the monthly volatility of the EuroStoxx 50 Index using data sampled at different frequencies. Macroeconomic forecast and analysis laboratory discussion paper
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Multivariate Gram-Charlier densities
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2008. Multivariate Gram-Charlier densities. Savings Banks Foundation. https://doi.org/WorkingPaperNo.381
Semi-parametric density expansions: orthogonality vs simplicity
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Estimating the dynamics of interest rates in the Japanese economy
Nowman, K.B. and Ñíguez, T.M. 2007. Estimating the dynamics of interest rates in the Japanese economy. Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics. Paris, France. Mar 2007
Multivariate Gram-Charlier densities
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2007. Multivariate Gram-Charlier densities. 1st International Workshop on Computational and Financial Econometrics. Geneva, Switzerland. Apr 2007
Multivariate Gram-Charlier densities
Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2007. Multivariate Gram-Charlier densities. Annual Meeting of the Journal of Financial Econometrics. Faro, Portugal. Oct 2007
Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence
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Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion
Perote, J. and Ñíguez, T.M. 2006. Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. XXVI International Symposium of Forecasting. Santander, Spain. Jun 2006
Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion
Perote, J. and Ñíguez, T.M. 2005. Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. XIII Forum of Finance. Madrid, Spain. Nov 2005
Forecasting the density of asset returns
Ñíguez, T.M. and Perote, J. 2005. Forecasting the density of asset returns. Journal of Applied Econometrics Annual Conference: Changing Structures in International and Financial Markets and the Effects on Financial Decision Making. Venice, Italy. Jun 2005
Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions
Ñíguez, T.M. and Perote, J. 2005. Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions. XXX Symposium of the Economic Analysis. Murcia, Spain Dec 2005
Estimating the dynamics of interest rates in the Japanese economy
Ñíguez, T.M. and Nowman, K.B. 2005. Estimating the dynamics of interest rates in the Japanese economy. Westminster Business School Workshop in Memory of the Late Professor Albert Rex Bergstrom on Continuous Time Econometrics. London, UK. Dec 2005
Forecasting the density of asset returns
Ñíguez, T.M. and Perote, J. 2004. Forecasting the density of asset returns. London, UK London School of Economics and Political Science.
Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Ñíguez, T.M. and Rubia, A. 2003. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. Valencian Institute of Economic Research. https://doi.org/WP-AD2003-34
Volatility and VaR forecasting for the IBEX-35 stock-return index using Figarch-type processes and different evaluation criteria
Ñíguez, T.M. 2003. Volatility and VaR forecasting for the IBEX-35 stock-return index using Figarch-type processes and different evaluation criteria. Valencian Institute of Economic Research. https://doi.org/WP-AD2003-33
Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence
Ñíguez, T.M. and Rubia, A. 2002. Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence.
Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria
Ñíguez, T.M. 2002. Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria. XXVII Symposium of the Economic Analysis. Salamanca, Spain. Dec 2002
Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Ñíguez, T.M. 2002. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. XXVII Symposium of the Economic Analysis. Salamanca, Spain. Dec 2002
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