Metodología para la estimación de la dependencia de las tasas de cambio en Colombia
This document measures the dependence of the exchange rates of the dollar and the euro with respect to the Colombian peso and its forecast. For this purpose, the copula methodology and time series were used following a GARCH model. The value at risk was established for a fictional portfolio that has...
- Autores:
-
González Moreno, Andrea del Rocío
- Tipo de recurso:
- Trabajo de grado de pregrado
- Fecha de publicación:
- 2019
- Institución:
- Escuela Colombiana de Ingeniería Julio Garavito
- Repositorio:
- Repositorio Institucional ECI
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.escuelaing.edu.co:001/971
- Acceso en línea:
- https://catalogo.escuelaing.edu.co/cgi-bin/koha/opac-detail.pl?biblionumber=22037
https://repositorio.escuelaing.edu.co/handle/001/971
- Palabra clave:
- Cópulas
Series de Tiempo
Valor en Riesgo
VaR
Copulas
Time Series
Value at Risk
VaR
- Rights
- openAccess
- License
- Derechos Reservados - Escuela Colombiana de Ingeniería Julio Garavito
| Summary: | This document measures the dependence of the exchange rates of the dollar and the euro with respect to the Colombian peso and its forecast. For this purpose, the copula methodology and time series were used following a GARCH model. The value at risk was established for a fictional portfolio that has investments in both dollars and euros, with varied proportions of investment in both currencies. |
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