On the existence of an optimal estimation window for risk measures
dc.contributor.author | Righi, Marcelo Brutti | pt_BR |
dc.contributor.author | Ceretta, Paulo Sérgio | pt_BR |
dc.date.accessioned | 2016-06-04T02:09:19Z | pt_BR |
dc.date.issued | 2016 | pt_BR |
dc.identifier.issn | 1545-2921 | pt_BR |
dc.identifier.uri | http://hdl.handle.net/10183/142274 | pt_BR |
dc.description.abstract | 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: | en |
dc.format.mimetype | application/pdf | pt_BR |
dc.language.iso | eng | pt_BR |
dc.relation.ispartof | Economics bulletin. Nashville. Vol. 36, n. 1 (2016), p. 1-9 | pt_BR |
dc.rights | Open Access | en |
dc.subject | Risco financeiro | pt_BR |
dc.subject | Bolsa de valores | pt_BR |
dc.title | On the existence of an optimal estimation window for risk measures | pt_BR |
dc.type | Artigo de periódico | pt_BR |
dc.identifier.nrb | 000988443 | pt_BR |
dc.type.origin | Estrangeiro | pt_BR |
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