Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications

This paper studies the risk assessment of semi-nonparametric (SNP) distributions for leveraged exchange trade funds, (L)ETFs. We applied the SNP model with dynamic conditional correlations (DCC) and EGARCH innovations, and implement recent techniques to backtest Expected Shortfall (ES) to portfolios...

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Detalles Bibliográficos
Autores: Del Brio, E., Mora, A., Perote, J.
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2018
País:Colombia
Institución:Universidad de los Andes
Repositorio:Séneca: repositorio Uniandes
Idioma:inglés
OAI Identifier:oai:repositorio.uniandes.edu.co:1992/47080
Acceso en línea:http://hdl.handle.net/1992/47080
Access Level:acceso abierto
Palabra clave:Gram¿Charlier
DCC
Expected shortfall
Backtesting
Commodity ETF
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spelling Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specificationsDel Brio, E.Mora, A.Perote, J.Gram¿CharlierDCCExpected shortfallBacktestingCommodity ETFThis paper studies the risk assessment of semi-nonparametric (SNP) distributions for leveraged exchange trade funds, (L)ETFs. We applied the SNP model with dynamic conditional correlations (DCC) and EGARCH innovations, and implement recent techniques to backtest Expected Shortfall (ES) to portfolios formed by bivariate combinations of major (L)ETFs on metal (Gold and Silver) and energy (Oil and Gas) commodities. Results support that multivariate SNP-DCC model outperforms the Gaussian-DCC and provides accurate risk measures for commodity (L)ETFs.Facultad de Administración2020-10-01T16:53:28Z2020-10-01T16:53:28Z2018Artículo de revistainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/version/c_ab4af688f83e57aaTexthttp://purl.org/redcol/resource_type/ARTp.  1746-1764application/pdfhttp://hdl.handle.net/1992/4708010.1080/1351847X.2018.1559213instname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/reponame:Séneca: repositorio Uniandesinstname:Universidad de los Andesinstacron:Universidad de los AndesengAl consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf22022-06-02T14:02:51Z
dc.title.none.fl_str_mv Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
title Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
spellingShingle Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Del Brio, E.
Gram¿Charlier
DCC
Expected shortfall
Backtesting
Commodity ETF
title_short Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
title_full Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
title_fullStr Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
title_full_unstemmed Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
title_sort Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
dc.creator.none.fl_str_mv Del Brio, E.
Mora, A.
Perote, J.
author Del Brio, E.
author_facet Del Brio, E.
Mora, A.
Perote, J.
author_role author
author2 Mora, A.
Perote, J.
author2_role author
author
dc.subject.none.fl_str_mv Gram¿Charlier
DCC
Expected shortfall
Backtesting
Commodity ETF
topic Gram¿Charlier
DCC
Expected shortfall
Backtesting
Commodity ETF
description This paper studies the risk assessment of semi-nonparametric (SNP) distributions for leveraged exchange trade funds, (L)ETFs. We applied the SNP model with dynamic conditional correlations (DCC) and EGARCH innovations, and implement recent techniques to backtest Expected Shortfall (ES) to portfolios formed by bivariate combinations of major (L)ETFs on metal (Gold and Silver) and energy (Oil and Gas) commodities. Results support that multivariate SNP-DCC model outperforms the Gaussian-DCC and provides accurate risk measures for commodity (L)ETFs.
publishDate 2018
dc.date.none.fl_str_mv 2018
2020-10-01T16:53:28Z
2020-10-01T16:53:28Z
dc.type.none.fl_str_mv Artículo de revista
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/version/c_ab4af688f83e57aa
Text
http://purl.org/redcol/resource_type/ART
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/1992/47080
10.1080/1351847X.2018.1559213
instname:Universidad de los Andes
reponame:Repositorio Institucional Séneca
repourl:https://repositorio.uniandes.edu.co/
url http://hdl.handle.net/1992/47080
identifier_str_mv 10.1080/1351847X.2018.1559213
instname:Universidad de los Andes
reponame:Repositorio Institucional Séneca
repourl:https://repositorio.uniandes.edu.co/
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
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eu_rights_str_mv openAccess
rights_invalid_str_mv http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv p.  1746-1764
application/pdf
dc.publisher.none.fl_str_mv Facultad de Administración
publisher.none.fl_str_mv Facultad de Administración
dc.source.none.fl_str_mv reponame:Séneca: repositorio Uniandes
instname:Universidad de los Andes
instacron:Universidad de los Andes
instname_str Universidad de los Andes
instacron_str Universidad de los Andes
institution Universidad de los Andes
reponame_str Séneca: repositorio Uniandes
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