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RESEARCH PRODUCT

A computational proposal for a robust estimation of the Pareto tail index: An application to emerging markets

Joseph Andria

subject

EstimationMathematical optimizationComputer scienceRisk measureGaussianEmerging marketsValue-at-RiskPareto principleParticle swarm optimizationMetaheuristicssymbols.namesakeRobustness (computer science)symbolsTail index estimationPareto-type distributionEmerging marketsSoftwareTail index

description

Abstract In this work, we backtest and compare, under the VaR risk measure, the fitting performances of three classes of density distributions (Gaussian, Stable and Pareto) with respect to three different types of emerging markets: Egypt, Qatar and Mexico. We also propose a new technique for the estimation of the Pareto tail index by means of the Threshold Accepting (TAVaR) and the Hybrid Particle Swarm Optimization algorithm (H-PSOVaR). Furthermore, we test the accuracy and robustness of our estimates demonstrating the effectiveness of the proposed approach.

yearjournalcountryeditionlanguage
2022-01-01
10.1016/j.asoc.2021.108048http://hdl.handle.net/10447/526864