PERFORMANCE OF CONDITIONAL MODELS IN GOLD RISK MANAGEMENT
Even with studies to confront different risk models for gold, there is no consensus about what is the best approach or models when considering the presence of extreme negative values. To that, we employ a backtesting in conditional models with distinct distributions in order to estimate VaR and ES r...
Gespeichert in:
| Veröffentlicht in: | REAd - Revista Eletrônica de Administração |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Universidade Federal do Rio Grande do Sul
2015
|
| Schlagworte: | |
| Online-Zugang: | https://www.redalyc.org/articulo.oa?id=401143287005 |
| Tags: |
Keine Tags, Fügen Sie das erste Tag hinzu!
|