Skip to main content
SpringerLink
Log in

Statistical Methodologies for the Market Risk Measurement

  • Published:
Asia-Pacific Financial Markets Aims and scope Submit manuscript

Abstract

This paper classifies statistical methodologies available for the marketrisk measurement. With the help of the weighted likelihood, a broad class ofnon-normal distributions, which are not generally considered so far, areapplied to possibly hetero-scedastic financial variables. The approach is compared with popular procedures such as GARCH and J. P. Morgan's using daily dataof 12 financial variables.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Fan, J. and Gijbels, I. (1996) Local Polynomial Modelling and Its Applications, Chapman and Hall.

  • Green, W. H. (1997) Econometric Analysis, 3rd edn, Prentice-Hall.

  • Hull, J. and White, A. (1998) Incorporating volatility up-dating into the historical simulation method for VaR, The Journal of Risk 1(1), 5-19.

    Google Scholar 

  • J. P. Morgan, (1995) Technical Document, 3rd edn., J. P. Morgan.

  • Miura, R. and Tsukahara, H. (1993) One-sample estimation for generalized Lehmann's alternative models, Statistica Sincia 3(1), 83-101.

    Google Scholar 

  • Tukey, J. W. (1977) Exploratory Data Analysis, Addison-Wesley.

Download references

Author information

Authors and Affiliations

  1. Graduate School of International Corporate Strategy, Hitotsubashi University, 2-1-2 Hitotsubashi, Chiyoda-ku, Tokyo, 101-8439, Japan

    Ryozo Miura

  2. Graduate School of International Corporate Strategy, Hitotsubashi University, 2-1-2 Hitotsubashi, Chiyoda-ku, Tokyo, 101-8439, Japan

    Shingo Oue

Authors
  1. Ryozo Miura
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Shingo Oue
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

About this article

Cite this article

Miura, R., Oue, S. Statistical Methodologies for the Market Risk Measurement. Asia-Pacific Financial Markets 7, 305–319 (2000). https://doi.org/10.1023/A:1010077117199

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1023/A:1010077117199

Search

Navigation