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...

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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
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