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...

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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

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spelling	Alonso Cifuentes, Julio CésarChaves Echeverri, Juan Manueljcalonso@icesi.edu.cojuanmanuelchaves@gmail.comStockton de Lat: 37 57 00 N degrees minutes Lat: 37.9500 decimal degrees Long: 121 17 00 W degrees minutes Long: -121.2833 decimal degrees2017-12-11T15:47:24Z2017-12-11T15:47:24Z2015-03-0110.18374/RBR-15-1.21546-2609e2378-9670http://www.iabe.org/domains/IABE-DOI/article.aspx?DOI=RBR-15-1.2http://repository.icesi.edu.co/biblioteca_digital/handle/10906/82370http://dx.doi.org/10.18374/RBR-15-1.2instname: Universidad Icesireponame: Biblioteca Digitalrepourl: https://repository.icesi.edu.co/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.22 páginasDigitalapplication/pdfengInternational Academy of Business and EcomomicsFacultad de Ciencias Administrativas y EconómicasEconomíaDepartamento de EconomíaStocktonReview of Business Research, Vol. 15, No. 1 - 2015EL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos Todo persona que consulte ya sea la biblioteca o en medio electrónico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2EconomíaAdministración de riesgosEvaluación de riesgosValor en riesgoRiesgo (Finanzas)Análisis financieroArgentinaBrasilChileColombiaPerúEconomicsUsing the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countriesinfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_2df8fbb1Artículoinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85Comunidad Universidad Icesi1511536ORIGINALdocumento.htmldocumento.htmltext/html283http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/82370/1/documento.htmlb95e79c324a5e585f3590a1b4e8b0f62MD5110906/82370oai:repository.icesi.edu.co:10906/823702018-09-14 09:53:31.008Biblioteca Digital - Universidad icesicdcriollo@icesi.edu.co
dc.title.none.fl_str_mv	Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
title	Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
spellingShingle	Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries Economía Administración de riesgos Evaluación de riesgos Valor en riesgo Riesgo (Finanzas) Análisis financiero Argentina Brasil Chile Colombia Perú Economics
title_short	Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
title_full	Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
title_fullStr	Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
title_full_unstemmed	Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
title_sort	Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
dc.creator.fl_str_mv	Alonso Cifuentes, Julio César Chaves Echeverri, Juan Manuel
dc.contributor.author.spa.fl_str_mv	Alonso Cifuentes, Julio César Chaves Echeverri, Juan Manuel
dc.subject.spa.fl_str_mv	Economía Administración de riesgos Evaluación de riesgos Valor en riesgo Riesgo (Finanzas) Análisis financiero Argentina Brasil Chile Colombia Perú
topic	Economía Administración de riesgos Evaluación de riesgos Valor en riesgo Riesgo (Finanzas) Análisis financiero Argentina Brasil Chile Colombia Perú Economics
dc.subject.eng.fl_str_mv	Economics
description	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.
publishDate	2015
dc.date.issued.none.fl_str_mv	2015-03-01
dc.date.accessioned.none.fl_str_mv	2017-12-11T15:47:24Z
dc.date.available.none.fl_str_mv	2017-12-11T15:47:24Z
dc.type.eng.fl_str_mv	info:eu-repo/semantics/article
dc.type.coar.none.fl_str_mv	http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv	Artículo
dc.type.version.eng.fl_str_mv	info:eu-repo/semantics/publishedVersion
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dc.identifier.none.fl_str_mv	10.18374/RBR-15-1.2
dc.identifier.issn.none.fl_str_mv	1546-2609e 2378-9670
dc.identifier.other.none.fl_str_mv	http://www.iabe.org/domains/IABE-DOI/article.aspx?DOI=RBR-15-1.2
dc.identifier.uri.none.fl_str_mv	http://repository.icesi.edu.co/biblioteca_digital/handle/10906/82370
dc.identifier.doi.none.fl_str_mv	http://dx.doi.org/10.18374/RBR-15-1.2
dc.identifier.instname.none.fl_str_mv	instname: Universidad Icesi
dc.identifier.reponame.none.fl_str_mv	reponame: Biblioteca Digital
dc.identifier.repourl.none.fl_str_mv	repourl: https://repository.icesi.edu.co/
identifier_str_mv	10.18374/RBR-15-1.2 1546-2609e 2378-9670 instname: Universidad Icesi reponame: Biblioteca Digital repourl: https://repository.icesi.edu.co/
url	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
dc.language.iso.eng.fl_str_mv	eng
language	eng
dc.relation.ispartof.none.fl_str_mv	Review of Business Research, Vol. 15, No. 1 - 2015
dc.rights.uri.none.fl_str_mv	https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.accessrights.eng.fl_str_mv	info:eu-repo/semantics/openAccess
dc.rights.license.none.fl_str_mv	Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)
dc.rights.coar.none.fl_str_mv	http://purl.org/coar/access_right/c_abf2
rights_invalid_str_mv	https://creativecommons.org/licenses/by-nc-nd/4.0/ Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv	openAccess
dc.format.extent.spa.fl_str_mv	22 páginas
dc.format.medium.spa.fl_str_mv	Digital
dc.format.mimetype.eng.fl_str_mv	application/pdf
dc.coverage.spatial.none.fl_str_mv	Stockton de Lat: 37 57 00 N degrees minutes Lat: 37.9500 decimal degrees Long: 121 17 00 W degrees minutes Long: -121.2833 decimal degrees
dc.publisher.eng.fl_str_mv	International Academy of Business and Ecomomics
dc.publisher.faculty.spa.fl_str_mv	Facultad de Ciencias Administrativas y Económicas
dc.publisher.program.spa.fl_str_mv	Economía
dc.publisher.department.spa.fl_str_mv	Departamento de Economía
dc.publisher.place.eng.fl_str_mv	Stockton
institution	Universidad ICESI
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Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries

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