caa a22 4500 463187725 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20070201xx s 000 0 eng 10.1007/s11156-006-0010-y doi (NATIONALLICENCE)springer-10.1007/s11156-006-0010-y A robust VaR model under different time periods and weighting schemes [Elektronische Daten] [Timotheos Angelidis, Alexandros Benos, Stavros Degiannakis] This paper analyses several volatility models by examining their ability to forecast Value-at-Risk (VaR) for two different time periods and two capitalization weighting schemes. Specifically, VaR is calculated for large and small capitalization stocks, based on Dow Jones (DJ) Euro Stoxx indices and is modeled for long and short trading positions by using non parametric, semi parametric and parametric methods. In order to choose one model among the various forecasting methods, a two-stage backtesting procedure is implemented. In the first stage the unconditional coverage test is used to examine the statistical accuracy of the models. In the second stage a loss function is applied to investigate whether the differences between the models, that calculated accurately the VaR, are statistically significant. Under this framework, the combination of a parametric model with the historical simulation produced robust results across the sample periods, market capitalization schemes, trading positions and confidence levels and therefore there is a risk measure that is reliable. Springer Science+Business Media, LLC, 2006 Asymmetric power ARCH nationallicence Backtesting nationallicence Extreme value theory nationallicence Filtered historical simulation nationallicence Value-at-risk nationallicence Angelidis Timotheos Department of Financial and Management Engineering, Aegean University, 31, Fostini Street, 82100, Chios, Greece aut Benos Alexandros Group Risk Management, National Bank of Greece, Athens, Greece aut Degiannakis Stavros Department of Statistics, Athens University of Economics and Business, 76, Patission Street, 10434, Athens, Greece aut Review of Quantitative Finance and Accounting Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 28/2(2007-02-01), 187-201 0924-865X 28:2<187 2007 28 11156 https://doi.org/10.1007/s11156-006-0010-y text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-006-0010-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Angelidis Timotheos Department of Financial and Management Engineering, Aegean University, 31, Fostini Street, 82100, Chios, Greece aut NATIONALLICENCE 700 1- Benos Alexandros Group Risk Management, National Bank of Greece, Athens, Greece aut NATIONALLICENCE 700 1- Degiannakis Stavros Department of Statistics, Athens University of Economics and Business, 76, Patission Street, 10434, Athens, Greece aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 28/2(2007-02-01), 187-201 0924-865X 28:2<187 2007 28 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer