Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
This document evaluates the performance of 36 different approaches for the estimation of the Value at Risk (VaR), parametric and non-parametric, of a representative portfolio for 5 Latin American countries (Argentina, Brazil, Chile, Colombia and Peru) with and without the day of the week effects (DO...
- Autores:
-
Alonso Cifuentes, Julio César
Chaves Echeverri, Juan Manuel
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2015
- Institución:
- Universidad ICESI
- Repositorio:
- Repositorio ICESI
- Idioma:
- eng
- OAI Identifier:
- oai:repository.icesi.edu.co:10906/82370
- Acceso en línea:
- http://www.iabe.org/domains/IABE-DOI/article.aspx?DOI=RBR-15-1.2
http://repository.icesi.edu.co/biblioteca_digital/handle/10906/82370
http://dx.doi.org/10.18374/RBR-15-1.2
- Palabra clave:
- Economía
Administración de riesgos
Evaluación de riesgos
Valor en riesgo
Riesgo (Finanzas)
Análisis financiero
Argentina
Brasil
Chile
Colombia
Perú
Economics
- Rights
- openAccess
- License
- https://creativecommons.org/licenses/by-nc-nd/4.0/
| Summary: | This document evaluates the performance of 36 different approaches for the estimation of the Value at Risk (VaR), parametric and non-parametric, of a representative portfolio for 5 Latin American countries (Argentina, Brazil, Chile, Colombia and Peru) with and without the day of the week effects (DOW). After finding the approach that better captures the risk set out for each portfolio we found that the inclusion of the day-of-the- week effect do not improve the risk metrics in Brazil and Argentina; but it does contribute in the case of Colombia, Chile and Peru. |
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