A note on calculating expected shortfall for discrete time stochastic volatility models
| Autor: | Eliana Christou, Michael Grabchak |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
050208 finance
Stochastic volatility 05 social sciences Monte Carlo method Leverage effect Expected shortfall Public finance 01 natural sciences 010104 statistics & probability K4430-4675 Discrete time and continuous time Management of Technology and Innovation Value-at-risk HG1-9999 0502 economics and business ddc:650 Econometrics 0101 mathematics Volatility (finance) Finance Value at risk Mathematics |
| Zdroj: | Financial Innovation, Vol 7, Iss 1, Pp 1-16 (2021) |
| Popis: | In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models. This includes both models where the innovations are independent of the volatility and where there is dependence. This dependence aims to capture the well-known leverage effect. The performance of our Monte Carlo methods is analyzed through simulations and empirical analyses of four major US indices. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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