Missing Data in Value-at-Risk Analysis : Conditional Imputation in Optimal Portfolios Using Regression

Abstract: A regression-based method is presented in order toregenerate missing data points in stock return time series. The method usesonly complete time series of assets in optimal portfolios, in which the returnsof the underlying tend to correlate inadequately with each other. The studyshows that the method is able to replicate empirical VaR-backtesting resultswhere all data are available, even when up to 90% of the time series in half ofthe assets in the portfolios have been removed.