Browsing FGV EPGE - Ensaios Econômicos by Author "Neri, Breno de Andrade Pinheiro"
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Comparing value-at-risk methodologies
Lima, Luiz Renato Regis de Oliveira; Neri, Breno de Andrade Pinheiro
2006-11-01In 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 ...


