Araştırma Makalesi
Yıl 2017,
Cilt: 19 Sayı: 1, 261 - 274, 30.06.2017
Öz
Riske
Maruz Değer(RMD) uygulamalarında getiri dağılımı üzerine yapılan varsayımlar
önemli bir rol oynamaktadır. Yıllar içinde yapılan çalışmalar göstermiştir ki
birçok finansal ürüne ait günlük getiri dağılımları, kalın ya da yarı-kalın
kuyruk yapısı sergilemektedir. Bu çalışmada, 2010-2016 dönemi için BIST100
endeksine ait günlük getiriler yarı-kalın kuyruk yapısı sergileyen
Genelleştirilmiş Hiperbolik Dağılımlar(GHD) ile modellenecektir. Bu amaçla, GHD
ve aileye ait Normal Ters Gauss Dağılımı ile Genelleştirilmiş Hiperbolik
Çarpık-t dağılımı için günlük getiriler kullanılarak parametre tahminleri
yapılacak ve dağılımların uygunluğu test edilecektir. Son olarak, elde edilen
parametre tahminleri kullanılarak RMD yöntemi ve GHD ailesinin performansları
geriye dönük testlerle karşılaştırılacaktır.
Anahtar Kelimeler
Riske Maruz Değer Genelleştirilmiş Hiperbolik Dağılımlar EWMA Volatilite Filtresi BIST100
Kaynakça
- Aas, K., Haff, D.H, “The Generalised Hyperbolic Skew Student’s t-Distribution”, Journal of Financial Econometrics, 4, 275–309, 2006.
- Barndorff-Nıelsen, O. E., “Exponential Decreasing Distributions of the Logarithm of Particle Size”, Proceedings of the Royal Society London, A, 353, 401-419, 1977.
- Bolvıken, E., Benth, F.E, “Quantification of Risk in Norwegian Stocks via the Normal Inverse Gaussian Distribution”, The 10th AFIR Colloquium, Tromso, Norway, 87–98, 2000.
- Borak, S., Mısıorek, A., Weron, R., “Models for Heavy-Tailed Asset Returns”, Statistical Tools for Finance and Insurance, Ed. P. Cizek, W. Härdle, R. Weron), Springer, 21-56, 2011.
- Danıelsson, J. , de Vrıes, C. G., “Tail Index Estimation with very High Frequency Data”, Journal of Empirical Finance,4, 241-257, 1997.
- Eberleın, E., Keller, U., “Hyperbolic Distributions in Finance”, Bernoulli, 1(3), 281-299, 1995.
- Embrechts, P., Resnıck, S. , Samorodnıtsky, G., “Extreme Value Theory as a Risk Management Tool”, North American Actuarial Journal, 3(2), 30-41, 1999.
- Fama, E., “The behavior of stock market prices”, Journal of Business, 38, 34-105, 1965.
- Gençay, R., Selçuk, F., “Extreme Value Theory and Value-at-Risk: Relative Performance in Emerging Markets”, International Journal of Forecasting, 20, 287– 303, 2004.
- Ho, L.C., Burrıdge, P., Cadle, J., Theobald, M., “Value-at-Risk: Applying the Extreme Value Approach to Asian Markets in the Recent Financial Turmoil”, Pacific-Basin Finance Journal 8, 249-275, 2000.
- Hu, W., Kercheval, A., “Risk Management with Generalized Hyperbolic Distributions”, The Fourth IASTED International Conference on Financial Engineering and Applications, California, USA, 19-24, 2007.
- Huang, C.K., Chınhamu, K., Huang, C.S., Hammujuddy, J., “Generalized Hyperbolic Distributions and Value-at-Risk Estimation for The South African Mining Index”, International Business & Economics Research Journal, 13, 320-328, 2014.
- Huısman, R., Koedıjk, K., Pownall, R., “VaR-x: Fat Tails in Financial Risk Management”, Journal of Risk, 1, 47–60, 1998.
- Hurst, S. R., Platen, E., "The Marginal Distributions of Returns and Volatility", L1 Statistical Procedures and Related Topics, (Ed. Y. Dodge), Hayward, CA: Institute of Mathematical Statistics, 31, 301-314, 1997.
- Kupıec, P., “Techniques for Verifying the Accuracy of Risk Measurement Models”, Journal of Derivatives, 3(2), 73–84, 1995.
- Lıllestol, J., “Risk analysis and the NIG distribution”, Journal of Risk, 2, 41–56, 2000.
- Longın, F. M., “The Asymptotic Distribution of Extreme Stock Market Returns”, The Journal of Business, 69(3) 383–408, 1996.
- Mabıtsela, L., Mare, E., Kufakunesu, R., “Quantification of VaR: A Note on VaR Valuation in the South African Equity Market”, Journal of Risk and Financial Management, 8(1), 103-126, 2015.
- Mandelbrot, B., “The Variation of Certain Speculative Prices”, Journal of Business, 36, 394-419, 1963.
- McNeil, A. J., “Calculating Quantile Risk Measures for Financial Time Series Using Extreme Value Theory”, Department of Mathematics, ETH. Swiss Federal Technical University E-Collection, http://e-collection.ethbib.ethz.ch/, 1998.
- Prause, K., “The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures”. Basılmamoş Doktora Tezi, University of Freiburg, 1999.
- Rydberg, T. H., “The Normal Inverse Gaussian Levy Pocess: Simulation and Approximation”, Communications in Statistics: Stochastic Models, 13, 887–910, 1997.
- Wentzel, C., Mare, E., “Extreme Value Theory-An Application to the South African Equity Market”, Investment Analysts Journal, 66, 73–77, 2007.
Yıl 2017,
Cilt: 19 Sayı: 1, 261 - 274, 30.06.2017
Öz
Kaynakça
- Aas, K., Haff, D.H, “The Generalised Hyperbolic Skew Student’s t-Distribution”, Journal of Financial Econometrics, 4, 275–309, 2006.
- Barndorff-Nıelsen, O. E., “Exponential Decreasing Distributions of the Logarithm of Particle Size”, Proceedings of the Royal Society London, A, 353, 401-419, 1977.
- Bolvıken, E., Benth, F.E, “Quantification of Risk in Norwegian Stocks via the Normal Inverse Gaussian Distribution”, The 10th AFIR Colloquium, Tromso, Norway, 87–98, 2000.
- Borak, S., Mısıorek, A., Weron, R., “Models for Heavy-Tailed Asset Returns”, Statistical Tools for Finance and Insurance, Ed. P. Cizek, W. Härdle, R. Weron), Springer, 21-56, 2011.
- Danıelsson, J. , de Vrıes, C. G., “Tail Index Estimation with very High Frequency Data”, Journal of Empirical Finance,4, 241-257, 1997.
- Eberleın, E., Keller, U., “Hyperbolic Distributions in Finance”, Bernoulli, 1(3), 281-299, 1995.
- Embrechts, P., Resnıck, S. , Samorodnıtsky, G., “Extreme Value Theory as a Risk Management Tool”, North American Actuarial Journal, 3(2), 30-41, 1999.
- Fama, E., “The behavior of stock market prices”, Journal of Business, 38, 34-105, 1965.
- Gençay, R., Selçuk, F., “Extreme Value Theory and Value-at-Risk: Relative Performance in Emerging Markets”, International Journal of Forecasting, 20, 287– 303, 2004.
- Ho, L.C., Burrıdge, P., Cadle, J., Theobald, M., “Value-at-Risk: Applying the Extreme Value Approach to Asian Markets in the Recent Financial Turmoil”, Pacific-Basin Finance Journal 8, 249-275, 2000.
- Hu, W., Kercheval, A., “Risk Management with Generalized Hyperbolic Distributions”, The Fourth IASTED International Conference on Financial Engineering and Applications, California, USA, 19-24, 2007.
- Huang, C.K., Chınhamu, K., Huang, C.S., Hammujuddy, J., “Generalized Hyperbolic Distributions and Value-at-Risk Estimation for The South African Mining Index”, International Business & Economics Research Journal, 13, 320-328, 2014.
- Huısman, R., Koedıjk, K., Pownall, R., “VaR-x: Fat Tails in Financial Risk Management”, Journal of Risk, 1, 47–60, 1998.
- Hurst, S. R., Platen, E., "The Marginal Distributions of Returns and Volatility", L1 Statistical Procedures and Related Topics, (Ed. Y. Dodge), Hayward, CA: Institute of Mathematical Statistics, 31, 301-314, 1997.
- Kupıec, P., “Techniques for Verifying the Accuracy of Risk Measurement Models”, Journal of Derivatives, 3(2), 73–84, 1995.
- Lıllestol, J., “Risk analysis and the NIG distribution”, Journal of Risk, 2, 41–56, 2000.
- Longın, F. M., “The Asymptotic Distribution of Extreme Stock Market Returns”, The Journal of Business, 69(3) 383–408, 1996.
- Mabıtsela, L., Mare, E., Kufakunesu, R., “Quantification of VaR: A Note on VaR Valuation in the South African Equity Market”, Journal of Risk and Financial Management, 8(1), 103-126, 2015.
- Mandelbrot, B., “The Variation of Certain Speculative Prices”, Journal of Business, 36, 394-419, 1963.
- McNeil, A. J., “Calculating Quantile Risk Measures for Financial Time Series Using Extreme Value Theory”, Department of Mathematics, ETH. Swiss Federal Technical University E-Collection, http://e-collection.ethbib.ethz.ch/, 1998.
- Prause, K., “The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures”. Basılmamoş Doktora Tezi, University of Freiburg, 1999.
- Rydberg, T. H., “The Normal Inverse Gaussian Levy Pocess: Simulation and Approximation”, Communications in Statistics: Stochastic Models, 13, 887–910, 1997.
- Wentzel, C., Mare, E., “Extreme Value Theory-An Application to the South African Equity Market”, Investment Analysts Journal, 66, 73–77, 2007.
Toplam 23 adet kaynakça vardır.
Ayrıntılar
| Bölüm | Araştırma Makalesi |
|---|---|
| Yazarlar | |
| Yayımlanma Tarihi | 30 Haziran 2017 |
| Yayımlandığı Sayı | Yıl 2017 Cilt: 19 Sayı: 1 |
Kaynak Göster
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