La Trobe University
Dr. Paul Kabaila holds a Reader in Statistics position in the Department of Mathematics and Statistics at La Trobe University in Melbourne, Australia. He has 90 publications in international refereed journals indexed by the Web of Science and is an elected member of the International Statistical Institute. His research interests include: (a) the effect of parameter estimation errors on measures of financial risk based on time series that display volatility clustering, (b) frequentist confidence intervals and prediction intervals that utilize uncertain prior information, (c) the effect of preliminary model selection on confidence intervals and prediction intervals and (d) frequentist model averaged confidence intervals.
This paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES)…