Measuring Tail Risk

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

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  • University of Reading
  • Universität des Saarlandes
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Titel in ÜbersetzungMessung des Tail-Risikos
OriginalspracheEnglisch
Aufsatznummer105769
Seitenumfang24
FachzeitschriftJournal of Econometrics
Jahrgang241
Ausgabenummer2
PublikationsstatusVeröffentlicht - Apr. 2024

Abstract

Wir untersuchen umfassend die Nützlichkeit der in der Literatur vorgeschlagenen Maßstäbe für das Tail-Risiko. Wir bewerten sowohl ihre statistische als auch ihre ökonomische Validität. Das optionsimplizite Maß von Bollerslev und Todorov (2011b) () schneidet insgesamt am besten ab. Während einige andere Maßzahlen für das Tail-Risiko sich durch spezielle Aufgaben auszeichnen, schneiden sie in allen Tests gut ab: Erstens kann es sowohl zukünftige Tail-Ereignisse als auch zukünftige Tail-Volatilität vorhersagen. Zweitens hat es eine Vorhersagekraft für Renditen sowohl in der Zeitreihe als auch im Querschnitt sowie für die reale Wirtschaftstätigkeit. Schließlich zeigt eine Simulationsanalyse, dass der Hauptfaktor für die Leistung der Messfehler ist.

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Measuring Tail Risk. / Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel et al.
in: Journal of Econometrics, Jahrgang 241, Nr. 2, 105769, 04.2024.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Dierkes M, Hollstein F, Prokopczuk M, Würsig CM. Measuring Tail Risk. Journal of Econometrics. 2024 Apr;241(2):105769. doi: 10.1016/j.jeconom.2024.105769, 10.2139/ssrn.3789005
Dierkes, Maik ; Hollstein, Fabian ; Prokopczuk, Marcel et al. / Measuring Tail Risk. in: Journal of Econometrics. 2024 ; Jahrgang 241, Nr. 2.
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