Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
The need to provide accurate value-at-risk (VaR) forecasting measures has triggered an important literature in econophysics. Although these accurate VaR models and methodologies are particularly demanded for hedge fund managers, there exist few articles specifically devoted to implement new techniqu...
- Autores:
-
B. Del Brio, Esther
Mora-Valencia, Andrés
Perote, Javier
- Tipo de recurso:
- Fecha de publicación:
- 2014
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/7616
- Acceso en línea:
- http://hdl.handle.net/10784/7616
- Palabra clave:
- Hedge funds
Value-at-risk
Backtesting
Extreme value theory
Gram–Charlier series
Copulas
- Rights
- License
- restrictedAccess