A conditional heteroscedastic VaR approach with alternative distributions
Objective: The purpose of this paper is to explore different distributions in conditional Value at Risk (VaR) modeling as an option in the Mexican market. Methodology: We estimate a GARCH model under the Gaussian, Normal Inverse Gaussian, Skew Generalized t and the Stable distribution assumption, t...
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| Publicado en: | EconoQuantum |
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| Autores principales: | , |
| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Universidad de Guadalajara
2020
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| Materias: | |
| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=125065233004 https://www.redalyc.org/journal/1250/125065233004/ https://www.redalyc.org/journal/1250/125065233004/html/ https://www.redalyc.org/journal/1250/125065233004/125065233004.epub https://www.redalyc.org/journal/1250/125065233004/movil |
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