Gilbert Colletaz

University of Orleans

France

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Gilbert Colletaz created these companion sites

Backtesting Value-at-Risk: A GMM Duration-based Test
Abstract
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e. the geometric distribution) is applied to the case of the VaR forecasts validity. Using simple J-statistic based on the moments defined by the orthonormal polynomials associated with the geometric distribution, this new approach tackles most of the drawbacks usually associated to duration based backtesting procedures. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypothesis (Christoffersen, 1998). Third, Monte-Carlo simulations show that for realistic sample sizes, our GMM test outperforms traditional duration based test. Besides, we study the consequences of the estimation risk on the duration-based backtesting tests and propose a sub-sampling approach for robust inference derived from Escanciano and Olmo (2009). An empirical application for Nasdaq returns confirms that using GMM test leads to major consequences for the ex-post evaluation of the risk by regulation authorities.
Colletaz, G., B. Candelon, C. Hurlin, and S. Tokpavi, "Backtesting Value-at-Risk: A GMM Duration-based Test", Journal of Financial Econometrics, 9(2), 314-343 .
Authors: Candelon
Colletaz
Hurlin
Tokpavi
Coders: Colletaz
Candelon
Hurlin
Tokpavi
Last update
Thu Jun 28 11:01:00 CEST 2012
Ranking
55
Runs
23
Visits
291
Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series
Abstract
This article investigates model checks for a class of possibly nonlinear heteroskedastic time series models, including but not restricted to ARMA-GARCH models. We propose omnibus tests based on functionals of certain weighted standardized residual empirical processes. The new tests are asymptotically distribution-free, suitable when the conditioning set is infinite-dimensional, and consistent against a class of Pitman’s local alternatives converging at the parametric rate n-1/2, with n the sample size. A Monte Carlo study shows that the simulated level of the proposed tests is close to the asymptotic level already for moderate sample sizes and that tests have a satisfactory power performance. Finally, we illustrate our methodology with an application to the well-known S&P 500 daily stock index. The paper also contains an asymptotic uniform expansion for weighted residual empirical processes when initial conditions are considered, a result of independent interest.
Colletaz, G., "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series", Econometric Theory, 26(03), 744-773.
Authors: Escanciano
Coders: Colletaz
Last update
Fri Dec 06 03:00:00 CET 2013
Ranking
18
Runs
39
Visits
218
The Risk Map: A New Tool for Validating Risk Models
Abstract
This paper presents a new tool for validating risk models. This tool, called the Risk Map, jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. It relies on the concept of Value-at-Risk (VaR) super exception, which is defined as a situation in which the loss exceeds both the standard VaR and a VaR defined at an extremely low coverage probability. We then formally test whether the sequences of exceptions and super exceptions is rejected by standard model validation tests. We show that the Risk Map can be used to validate market, credit, operational, or systemic (e.g. CoVaR) risk estimates or to assess the performance of the margin system of a clearing house.
Colletaz, G., C. Hurlin, and C. Perignon, "The Risk Map: A New Tool for Validating Risk Models", SSRN.
Authors: Colletaz
Hurlin
Perignon
Coders: Colletaz
Hurlin
Perignon
Last update
Thu Jul 25 05:01:00 CEST 2013
Ranking
51
Runs
146
Visits
431
Network Effects and Infrastructure Productivity in Developing Countries
Abstract
This paper proposes to investigate the threshold effects of the productivity of infrastructure investment in developing countries within a panel data framework. Various speci.cations of an augmented production function that allow for endogenous thresholds are considered. The overwhelming outcome is the presence of strong threshold effects in the relationship between output and private and public inputs. Whatever the transition mechanism used, the testing procedures lead to strong rejection of the linearity of this relationship. In particular, the productivity of infrastructure investment generally exhibits some network effects. When the available stock of infrastructure is very low, investment in this sector has the same productivity as non-infrastructure investment. On the contrary, when a minimumnetwork is available, the marginal productivity of infrastructure investment is generally largely greater than the productivity of other investments. Finally, when the main network is achieved, its marginal productivity becomes similar to the productivity of other investment.
Candelon, B., G. Colletaz, and C. Hurlin, "Network Effects and Infrastructure Productivity in Developing Countries", Maastricht University.
Authors: Candelon
Colletaz
Hurlin
Coders: Candelon
Colletaz
Hurlin
Last update
Thu Mar 14 10:17:00 CET 2013
Ranking
35
Runs
414
Visits
431
A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR
Abstract
In this paper, we propose a theoretical and empirical comparison of two popular systemic risk measures - Marginal Expected Shortfall (MES) and Delta Conditional Value at Risk (ΔCoVaR) - that can be estimated using publicly available data. First, we assume that the time-varying correlation completely captures the dependence between firm and market returns. Under this assumption, we derive three analytical results: (i) we show that the MES corresponds to the product of the conditional ES of market returns and the time-varying beta of this institution, (ii) we give an analytical expression of the ΔCoVaR and show that the CoVaR corresponds to the product of the VaR of the firm's returns and the time-varying linear projection coefficient of the market returns on the firm's returns and (iii) we derive the ratio of the MES to the ΔCoVaR. Second, we relax this assumption and propose an empirical comparison for a panel of 61 US financial institutions over the period from January 2000 to December 2010. For each measure, we propose a cross-sectional analysis, a time-series comparison and rankings analysis of these institutions based on the two measures.
Benoit, S., G. Colletaz, C. Hurlin, and C. Perignon, "A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR", SSRN.
Authors: Benoit
Colletaz
Hurlin
Perignon
Coders: Benoit
Colletaz
Hurlin
Perignon
Last update
Thu Oct 25 11:35:00 CEST 2012
Ranking
53
Runs
181
Visits
398
A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics
Abstract
This paper proposes a new class of asymmetric Student-t (AST) distributions, and investigates its properties, gives procedures for estimation, and indicates applications in financial econometrics. We derive analytical expressions for the cdf, quantile function, moments, and quantities useful in financial econometric applications such as the Expected Shortfall. A stochastic representation of the distribution is also given. Although the AST density does not satisfy the usual regularity conditions for maximum likelihood estimation, we establish consistency, asymptotic normality and efficiency of ML estimators and derive an explicit analytical expression for the asymptotic covariance matrix. A Monte Carlo study indicates generally good finite-sample conformity with these asymptotic properties.
Colletaz, G., "A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics", Journal of Econometrics, 157, 297-305.
Authors: Zhu
Galbraith
Coders: Colletaz
Last update
Sat May 05 02:59:00 CEST 2012
Ranking
38
Runs
6
Visits
95
Panel Smooth Transition Regression Models
Abstract
We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with re- gression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are continuous functions of an ob- servable variable through a bounded function of this variable and fluctuate between a limited number (often two) of “extreme regimes”. The model can be viewed as a generalization of the threshold panel model of Hansen (1999). We extend the modelling strategy for univariate smooth transition regression models to the panel context. This comprises of model specification based on homogeneity tests, parame- ter estimation, and diagnostic checking, including tests for parameter constancy and no remaining nonlinearity. The new model is applied to describe firms’ investment decisions in the presence of capital market imperfections.
Colletaz, G., "Panel Smooth Transition Regression Models", SSE/EFI working paper series in economics and finance, n° 604..
Authors: Gonzalez
van Dijk
Terasvirta
Coders: Colletaz
Last update
Thu Jul 16 05:42:00 CEST 2015
Ranking
9999
Runs
205
Visits
N.A.
Testing for Unit Roots in the Presence of Uncertainty Over Both the Trend and Initial Condition
Abstract
In this paper we provide a joint treatment of two major problems that surround testing for a unit root in practice: uncertainty as to whether or not a linear deterministic trend is present in the data, and uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not. We suggest decision rules based on the union of rejections of four standard unit root tests (OLS and quasi-differenced demeaned and detrended ADF unit root tests), along with information regarding the magnitude of the trend and initial condition, to allow simultaneously for both trend and initial condition uncertainty.
Colletaz, G., "Testing for Unit Roots in the Presence of Uncertainty Over Both the Trend and Initial Condition", Journal of Econometrics, 169, 188-95.
Authors: Harvey
Leybourne
Taylor
Coders: Colletaz
Last update
Mon Oct 08 09:17:00 CEST 2012
Ranking
48
Runs
20
Visits
44