{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,6]],"date-time":"2026-10-06T20:37:59Z","timestamp":1791319079353,"version":"4.3.1"},"reference-count":47,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2003,5,2]],"date-time":"2003-05-02T00:00:00Z","timestamp":1051833600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2003,11]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>In this paper we model Value\u2010at\u2010Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed density models when the left and right tails of the distribution of returns must be modelled. Thus, VaR for traders having both long<jats:italic>and short<\/jats:italic>positions is not adequately modelled using usual normal or Student distributions. We suggest using an APARCH model based on the skewed Student distribution (combined with a time\u2010varying correlation in the multivariate case) to fully take into account the fat left and right tails of the returns distribution. This allows for an adequate modelling of large returns defined on long and short trading positions. The performances of the univariate models are assessed on daily data for three international stock indexes and three US stocks of the Dow Jones index. In a second application, we consider a portfolio of three US stocks and model its long and short VaR using a multivariate skewed Student density. Copyright \u00a9 2003 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.710","type":"journal-article","created":{"date-parts":[[2003,12,4]],"date-time":"2003-12-04T08:00:35Z","timestamp":1070524835000},"page":"641-663","source":"Crossref","is-referenced-by-count":268,"title":["Value\u2010at\u2010risk for long and short trading positions"],"prefix":"10.1002","volume":"18","author":[{"given":"Pierre","family":"Giot","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"S\u00e9bastien","family":"Laurent","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2003,5,2]]},"reference":[{"key":"e_1_2_6_2_1","unstructured":"BauwensL LaurentS.2002.A new class of multivariate skew densities with application to GARCH models. CORE DP 2002\/20."},{"key":"e_1_2_6_3_1","doi-asserted-by":"crossref","unstructured":"BauwensL LaurentS RomboutsJVK.2003.Multivariate GARCH models: a survey. CORE DP.","DOI":"10.2139\/ssrn.411062"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-6419.1993.tb00170.x"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(00)00022-0"},{"key":"e_1_2_6_6_1","first-page":"177","volume-title":"Proceedings of the American Statistical Association, Business and Economic Statistics Section","author":"Black F","year":"1976"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109358"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_6_10_1","unstructured":"BrooksC PersandG.2000.Value\u2010at\u2010risk and market crashes. Discussion Paper in Finance 2000\u201301 University of Reading ISMA Centre."},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830213"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300558597"},{"key":"e_1_2_6_13_1","first-page":"73","article-title":"Value\u2010at\u2010risk and extreme returns","volume":"3","author":"Danielsson J","year":"2000","journal-title":"Annales d'Economie et Statistique"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90073-Z"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00084-1"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_6_18_1","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198774310.001.0001","volume-title":"ARCH Selected Readings","author":"Engle RF","year":"1995"},{"key":"e_1_2_6_19_1","article-title":"Dynamic conditional correlation\u2014a simple class of multivariate GARCH models","author":"Engle RF","year":"2003","journal-title":"Journal of Business and Economic Statistics"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_6_21_1","unstructured":"EngleRF PattonA.1999.What good is a volatility model?Mimeo San Diego Department of Economics."},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2669632"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90026-2"},{"key":"e_1_2_6_24_1","article-title":"The information content of implied volatility in agricultural commodity markets","author":"Giot P","year":"2002","journal-title":"Journal of Futures Markets"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527081"},{"key":"e_1_2_6_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/2676230"},{"key":"e_1_2_6_27_1","unstructured":"HeC Ter\u00e4svirtaT.1999a.Higher\u2010order dependence in the general power ARCH process and a special case. Stockholm School of Economics Working Paper Series in Economics and Finance No. 315."},{"key":"e_1_2_6_28_1","doi-asserted-by":"crossref","first-page":"462","DOI":"10.1093\/oso\/9780198296836.003.0019","volume-title":"Cointegration, Causality, and Forecasting. Festschrift in honour of Clive W.J. Granger","author":"He C","year":"1999"},{"key":"e_1_2_6_29_1","article-title":"Evaluation of value\u2010at\u2010risk models using historical data","author":"Hendricks D","year":"1996","journal-title":"Federal Reserve Bank of New York Economic Policy Review"},{"key":"e_1_2_6_30_1","volume-title":"Value\u2010at\u2010Risk: The New Benchmark for Managina Financial Risk","author":"Jorion P","year":"2000"},{"key":"e_1_2_6_31_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.4.817"},{"key":"e_1_2_6_32_1","first-page":"174","article-title":"Techniques for verifying the accuracy of risk measurement models","volume":"2","author":"Kupiec P","year":"1995","journal-title":"Journal of Derivatives"},{"key":"e_1_2_6_33_1","unstructured":"LambertP LaurentS.2000.Modelling skewness dynamics in series of financial data. Discussion Paper Institut de Statistique Louvain\u2010la\u2010Neuve."},{"key":"e_1_2_6_34_1","unstructured":"LambertP LaurentS.2001.Modelling financial time series using GARCH\u2010type models and a skewed Student density. Mimeo Universit\u00e9 de Li\u00e8ge."},{"key":"e_1_2_6_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6419.00174"},{"key":"e_1_2_6_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/0261-5606(94)00001-H"},{"key":"e_1_2_6_37_1","doi-asserted-by":"publisher","DOI":"10.1002\/1099-131X(200007)19:4<313::AID-FOR776>3.0.CO;2-E"},{"key":"e_1_2_6_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90072-Y"},{"key":"e_1_2_6_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90101-X"},{"key":"e_1_2_6_40_1","first-page":"475","volume-title":"Handbook of Statistics","author":"Palm FC","year":"1996"},{"key":"e_1_2_6_41_1","unstructured":"PaolellaMS.1997.Using flexible GARCH models with asymmetric distributions. Working paper Institute of Statistics and Econometrics Christian Albrechts University at Kiel."},{"key":"e_1_2_6_42_1","unstructured":"ScailletO.2000.Nonparametric estimation and sensitivity analysis of expected shortfall. Mimeo Universit\u00e9 Catholique de Louvain IRES."},{"key":"e_1_2_6_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.77"},{"key":"e_1_2_6_44_1","volume-title":"Investments","author":"Sharpe WF","year":"1999"},{"key":"e_1_2_6_45_1","series-title":"Modelling Financial Time Series","author":"Taylor SJ","year":"1986"},{"key":"e_1_2_6_46_1","article-title":"A multivariate GARCH model with time\u2010varying correlations","author":"Tse YK","year":"2003","journal-title":"Journal of Business, Economics and Statistics"},{"key":"e_1_2_6_47_1","unstructured":"van den GoorberghR VlaarP.1999.Value\u2010at\u2010risk analysis of stock returns historical simulation variance techniques or tail index estimation?De Nederlandse Bank\u2010Staff Report 40."},{"key":"e_1_2_6_48_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(95)00086-V"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.710","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.710","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,1,11]],"date-time":"2024-01-11T15:33:46Z","timestamp":1704987226000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.710"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2003,5,2]]},"references-count":47,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2003,11]]}},"alternative-id":["10.1002\/jae.710"],"URL":"https:\/\/doi.org\/10.1002\/jae.710","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2003,5,2]]}}}