Backtesting of the value in risk for the stock markets and of Latin American currencies

被引：0
|
作者：
Kristjanpoller Rodriguez, Werner [1 ]
Barahona Ossa, Andres [1 ]
机构：
[1] Univ Tecn Federico Santa Maria, Dept Ind, Region, Chile
来源：
INVESTIGACION ECONOMICA | 2014年 / 73卷 / 287期
关键词：
EQUILIBRIUM;
D O I：
10.1016/S0185-1667(14)72606-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
引用
收藏
页码：37 / 60
页数：24
相关论文
共 50 条
  • [11] Backtesting lambda value at risk
    Corbetta, Jacopo
    Peri, Ilaria
    EUROPEAN JOURNAL OF FINANCE, 2018, 24 (13): : 1075 - 1087
  • [12] A review of backtesting for value at risk
    Zhang, Y.
    Nadarajah, S.
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (15) : 3616 - 3639
  • [13] Modelling the linkages between US and Latin American stock markets
    Fernández-Serrano, JL
    Sosvilla-Rivero, S
    APPLIED ECONOMICS, 2003, 35 (12) : 1423 - 1434
  • [14] Evaluation of the Company Size Effect on Latin American Stock Markets
    Duarte Duarte, Juan Benjamin
    Ramirez Leon, Zulay Yesenia
    Sierra Suarez, Katherine Julieth
    ECOS DE ECONOMIA, 2013, 17 (37): : 5 - 28
  • [15] Testing the efficient market hypothesis in Latin American stock markets
    Sanchez-Granero, M. A.
    Balladares, K. A.
    Ramos-Requena, J. P.
    Trinidad-Segovia, J. E.
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 540
  • [16] Day of the Week Effect and Adaptive Markets in Latin American Stock Indices
    Villarreal-Samaniego, Dacio
    Santillan, Roberto J.
    ESTUDIOS GERENCIALES, 2023, 39 (168) : 286 - 296
  • [17] The Linkages between Major Latin American Stock Markets and its Implications
    Wu, Liguang
    Zhao, Hua
    2011 INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2011), VOL V, 2011, : 181 - 186
  • [18] On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets
    Candila, Vincenzo
    Farace, Salvatore
    RISKS, 2018, 6 (04):
  • [19] Stochastic trends in stock prices: Evidence from Latin American markets
    Choudhry, T
    JOURNAL OF MACROECONOMICS, 1997, 19 (02) : 285 - 304
  • [20] Value-at-Risk Based on Extreme Value Theory: Evidence from Asian and Latin American Emerging Markets
    Wang, Jo-Yu
    Choudhry, Taufiq
    PROCEEDINGS OF THE 2ND INTERNATIONAL CONFERENCE ON FINANCE AND ECONOMICS 2015, 2015, : 43 - 63
12345