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Title: Essays in modelling and estimating Value-at-Risk
Author: Yan, Yang
ISNI:       0000 0004 5351 5470
Awarding Body: London School of Economics and Political Science (University of London)
Current Institution: London School of Economics and Political Science (University of London)
Date of Award: 2014
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The thesis concerns semiparametric modelling and forecasting Value-at-Risk models, and the applications of these in financial data. Two general classes of semiparametric VaR models are proposed, the first method is introduced by defining some efficient estimators of the risk measures in a semiparametric GARCH model through moment constraints and a quantile estimator based on inverting an empirical likelihood weighted distribution. It is found that the new quantile estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. The second model proposes a new method to forecast one-period-ahead Value-at-Risk (VaR) in general ARCH(1) models with possibly heavy-tailed errors. The proposed method is based on least square estimation for the log-transformed model. This method imposes weak moment conditions on the errors. The asymptotic distribution also accounts for the parameter uncertainty in volatility estimation. We test our models against some conventional VaR forecasting methods, and the results demonstrate that our models are among the best in forecasting VaR.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HA Statistics