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...
Збережено в:
| Опубліковано в:: | REAd - Revista Eletrônica de Administração |
|---|---|
| Автори: | , , |
| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
Universidade Federal do Rio Grande do Sul
2015
|
| Предмети: | |
| Онлайн доступ: | https://www.redalyc.org/articulo.oa?id=401143287005 |
| Теги: |
Немає тегів, Будьте першим, хто поставить тег для цього запису!
|