Browsing Documentos publicados nas Revistas da Fundação Getulio Vargas by Title "Comparing value-at-risk methodologies"

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    • Comparing value-at-risk methodologies 

      Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro
      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 ...