Metal Prices and International Market Risk in the Peruvian Stock Market
In this paper we use the conditional Value at Risk (CoVaR) and CoVaR variation (ΔCoVaR) proposed by Adrian and Brunnermeier (2008, 2011, 2016) to estimate the Peruvian stock market risk (through the IGBVL) conditioned on the international financial market (given that the S&P500) and conditioned on t...
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| Autores principales: | , , , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Pontificia Universidad Católica del Perú
2017-10-01
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| Colección: | Economía |
| Materias: | |
| Acceso en línea: | http://revistas.pucp.edu.pe/index.php/economia/article/view/19274 |
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