Error of VAR by overlapping intervals

There are many applications in which the long-term statistical properties of short-term financial time series are required. For example, we might be interested in obtaining the 1% worst monthly return. That is, out of 200 months, we need the second-worst monthly performance. Requirements for such statistics arise, for example, when we look at value-at-risk estimates using the historical simulation method. In this method, it is common to look at the actual historical movements in the risk factors

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: