Estimation of Market Risk Measures in Mexican Financial Time Series
The objectives of this work are to investigate whether: i) a GARCH model with Generalized Pareto Distribution (GPD) innovations, complemented with an EWMA volatility forecast in order to consider practical problems that might arise in GARCH applications that comprise long periods of time, appropriat...
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| Pubblicato in: | Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance |
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| Autore principale: | |
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Instituto Mexicano de Ejecutivos de Finanzas A.C.
2017
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| Soggetti: | |
| Accesso online: | https://www.redalyc.org/articulo.oa?id=423753324002 https://www.redalyc.org/journal/4237/423753324002/ https://www.redalyc.org/journal/4237/423753324002/html/ https://www.redalyc.org/journal/4237/423753324002/423753324002.epub https://www.redalyc.org/journal/4237/423753324002/movil |
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