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
  • [31] The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
    Zhu, Zhenzhen
    Bai, Zhidong
    Vieito, Joao Paulo
    Wong, Wing-Keung
    ESTUDIOS DE ECONOMIA, 2019, 46 (01): : 5 - 30
  • [32] Cointegration, error correction and Granger causality: an application with Latin American stock markets
    Chaudhuri, K
    APPLIED ECONOMICS LETTERS, 1997, 4 (08) : 469 - 471
  • [33] An Analysis of "Sell in May and Go Away" Strategy in Latin American Stock Markets
    de Almeida, Juliano Ribeiro
    Bergmann, Daniel Reed
    Savoia, Jose Roberto Ferreira
    de Almeida, Guilherme Ribeiro
    Braga, Marina Arantes
    LATIN AMERICAN BUSINESS REVIEW, 2022, 23 (03) : 199 - 224
  • [34] The determination of risk premiums and the integration of the Canadian and American stock markets
    Carmichael, B
    Samson, L
    CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 1996, 29 (03): : 595 - 614
  • [35] The impact of political risk on the currencies of emerging markets
    dos Santos, Marcelo Bittencourt Coelho
    Klotzle, Marcelo Cabus
    Pinto, Antonio Carlos Figueiredo
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2021, 56
  • [36] Robust Backtesting Tests for Value-at-risk Models
    Escanciano, J. Carlos
    Olmo, Jose
    JOURNAL OF FINANCIAL ECONOMETRICS, 2011, 9 (01) : 132 - 161
  • [37] Backtesting Value-at-Risk: A Generalized Markov Test
    Pajhede, Thor
    JOURNAL OF FORECASTING, 2017, 36 (05) : 597 - 613
  • [38] A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets
    Manner, Hans
    Rodriguez, Gabriel
    Stoekler, Florian
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2024, 89 : 1385 - 1403
  • [39] Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis
    Cardona, Laura
    Gutierrez, Marcela
    Agudelo, Diego A.
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2017, 39 : 115 - 127
  • [40] The comovements in international stock markets: new evidence from Latin American emerging countries
    Arouri, Mohamed El Hedi
    Bellalah, Mondher
    Nguyen, Duc Khuong
    APPLIED ECONOMICS LETTERS, 2010, 17 (13) : 1323 - 1328
12345