New Approach to Density Estimation and Application to Value-at-Risk

• Main Authors: Kian Guan LIM, CHENG, Hao, YAP, Nelson K. L.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Density Estimation; Value-at-Risk; Forecasting and Prediction; Finance and Financial Management; Management Sciences and Quantitative Methods
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4892; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5891/viewcontent/P_ID_51914_JMF_2015112614162690_LimKG.pdf
• Institution: Singapore Management University

The key contribution in this paper is to provide a new approach in estimating the physical distribution of the underlying asset return by using a quadratic Radon-Nikodym derivative function. The latter function transforms a fitted Variance Gamma risk-neutral distribution that is obtained from traded...