Abstract
In a recent paper, Acerbi and Szekely (Risk Magazine, 76-81, 2014) presented three methods to test expected shortfall, and this is the first empirical application of that paper on emerging markets. We employ daily stock index returns from the Morgan Stanley Capital International Inc. Emerging Markets Index covering the 2000-2015 period, extending Acerbi and Szekely (Risk Magazine, 76-81, 2014) results to derive the significance thresholds for the Student's skewed-t distribution using two testing methods. We find that the thresholds for the Z(1) Test and Z(2) Test for skewed-t distribution are similar to the values obtained by Acerbi and Szekely for Student's t distribution. Therefore, the Z(1) and Z(2) thresholds are invariant to the skewed-t-shaped parameter values found in the emerging market stock indices. Empirical results show outperformance of Student's skewed-t and Student's t distributions over Gaussian distribution.
Original language | English |
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Article number | 3 |
Pages (from-to) | 153-182 |
Number of pages | 30 |
Journal | Risk Management-An International Journal |
Volume | 21 |
Issue number | 3 |
DOIs | |
Publication status | Published - 1 Sept 2019 |
Externally published | Yes |
Keywords
- Skewed-t
- Value-at-Risk
- backtesting
- expected shortfall
- STYLIZED FACTS
- MODELS
- Expected shortfall
- VALUE-AT-RISK
- Backtesting
- Value-at-risk
- LONG