The seminars are on Fridays at 11am in Room 498, Merewether Building (cnr of City Road and Butlin Avenue), unless otherwise specified.
The seminar organiser is Laurent Pauwels.
23rd Oct 2015 - 11:00 am
Venue: Room 498, Merewether Bldg H04
Speaker: Dr Yin Liao, School of Economics and Finance; Queensland University of Technology
Title: Estimating Expected Shortfall Using a Conditional Autoregressive Model: CARES*
Expected shortfall (ES) has recently become an increasingly popular measure
of downside risk because of its conceptual appeal and desirable properties. This ar-
ticle proposes a new conditional autoregressive model for estimating ES (CARES)
by specifying the evolution of ES over time using an autoregressive process. We
develop a tail-based least-squares method of estimating the model parameters and
establish the consistency and asymptotic normality of the resultant estimator.
Our simulation results show that the CARES model demonstrates superior nite-
sample forecasting performance compared with other existing methods. To use
examples with real data, we implement the model to evaluate the ESs of one stock
index and two individual stocks.
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