Itens para a visualização no momento 1-2 of 2

    • Comparing value-at-risk methodologies 

      Lima, Luiz Renato Regis de Oliveira; Neri, Breno de Andrade Pinheiro (Escola de Pós-Graduação em Economia da FGV, 2006-11-01)
      In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that ...
    • Comparing value-at-risk methodologies 

      Lima, Luiz Renato; Néri, Breno Pinheiro (Sociedade Brasileira de Econometria, 2007-05-01)
      In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that ...