Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?

[EN] This paper introduces the effect of the crossed products of Hermite polynomials on Gram-Charlier densities. This allows capturing the impact of the interaction between skewness and kurtosis and evaluating this new parameter as an additional source of information for risk management. We show tha...

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Bibliographic Details
Authors: Jiménez Jiménez, María Inés, Mora-Valencia, Andrés, Perote Peña, Javier
Format: article
Status:Published version
Publication Date:2022
Country:España
Institution:Universidad de Salamanca (USAL)
Repository:GREDOS. Repositorio Institucional de la Universidad de Salamanca
OAI Identifier:oai:gredos.usal.es:10366/159500
Online Access:http://hdl.handle.net/10366/159500
Access Level:Open access
Keyword:Gram-charlier expansions
Skewness
Kurtosis
Value-at-risk
Median shortfall
Backtesting
5308 Economía General
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spelling Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?Jiménez Jiménez, María InésMora-Valencia, AndrésPerote Peña, JavierGram-charlier expansionsSkewnessKurtosisValue-at-riskMedian shortfallBacktesting5308 Economía General[EN] This paper introduces the effect of the crossed products of Hermite polynomials on Gram-Charlier densities. This allows capturing the impact of the interaction between skewness and kurtosis and evaluating this new parameter as an additional source of information for risk management. We show that our modified Gram-Charlier density presents an improved accuracy, especially at distribution tails. Risk quantification is assessed for S&P500 losses with backtesting procedures for Value-at-Risk and Median Shortfall.Publicación en abierto financiada por la Universidad de Salamanca como participante en el Acuerdo Transformativo CRUE-CSIC con Elsevier, 2021-2024Elsevier202420242022info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://hdl.handle.net/10366/159500reponame:GREDOS. Repositorio Institucional de la Universidad de Salamancainstname:Universidad de Salamanca (USAL)InglésAttribution-NonCommercial-NoDerivatives 4.0 Internacionalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:gredos.usal.es:10366/1595002026-06-07T06:28:51Z
dc.title.none.fl_str_mv Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
title Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
spellingShingle Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Jiménez Jiménez, María Inés
Gram-charlier expansions
Skewness
Kurtosis
Value-at-risk
Median shortfall
Backtesting
5308 Economía General
title_short Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
title_full Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
title_fullStr Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
title_full_unstemmed Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
title_sort Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
dc.creator.none.fl_str_mv Jiménez Jiménez, María Inés
Mora-Valencia, Andrés
Perote Peña, Javier
author Jiménez Jiménez, María Inés
author_facet Jiménez Jiménez, María Inés
Mora-Valencia, Andrés
Perote Peña, Javier
author_role author
author2 Mora-Valencia, Andrés
Perote Peña, Javier
author2_role author
author
dc.subject.none.fl_str_mv Gram-charlier expansions
Skewness
Kurtosis
Value-at-risk
Median shortfall
Backtesting
5308 Economía General
topic Gram-charlier expansions
Skewness
Kurtosis
Value-at-risk
Median shortfall
Backtesting
5308 Economía General
description [EN] This paper introduces the effect of the crossed products of Hermite polynomials on Gram-Charlier densities. This allows capturing the impact of the interaction between skewness and kurtosis and evaluating this new parameter as an additional source of information for risk management. We show that our modified Gram-Charlier density presents an improved accuracy, especially at distribution tails. Risk quantification is assessed for S&P500 losses with backtesting procedures for Value-at-Risk and Median Shortfall.
publishDate 2022
dc.date.none.fl_str_mv 2022
2024
2024
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/10366/159500
url http://hdl.handle.net/10366/159500
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv Attribution-NonCommercial-NoDerivatives 4.0 Internacional
http://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Attribution-NonCommercial-NoDerivatives 4.0 Internacional
http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:GREDOS. Repositorio Institucional de la Universidad de Salamanca
instname:Universidad de Salamanca (USAL)
instname_str Universidad de Salamanca (USAL)
reponame_str GREDOS. Repositorio Institucional de la Universidad de Salamanca
collection GREDOS. Repositorio Institucional de la Universidad de Salamanca
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869410664225701888
score 15,81155

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