A note on calculating expected shortfall for discrete time stochastic volatility models
Keyword(s):
AbstractIn 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.
2002 ◽
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pp. 109-117
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2002 ◽
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2010 ◽
Vol 13
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2010 ◽
Vol 38
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pp. 1-22
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