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MaxVaR for non-normal and heteroskedastic returns

Malay Bhattacharyya, Nityanand Misra & Bharat Kodase
Journal Name
Quanatitative Finance
Journal Publication
others
Publication Year
2009
Decision Sciences and Information Systems
Publication Date
vol.9 No.8, Dec'09, PP 925-935
Abstract

In this work we propose Monte Carlo simulation models for dynamically computing MaxVaR for a financial return series. This dynamic MaxVaR takes into account the time-varying volatility as well as non-normality of returns or innovations.

MaxVaR for non-normal and heteroskedastic returns

Author(s) Name: Malay Bhattacharyya, Nityanand Misra & Bharat Kodase
Journal Name: Quanatitative Finance
Volume: vol.9 No.8, Dec'09, PP 925-935
Year of Publication: 2009
Abstract:

In this work we propose Monte Carlo simulation models for dynamically computing MaxVaR for a financial return series. This dynamic MaxVaR takes into account the time-varying volatility as well as non-normality of returns or innovations.