Uso de modelos de volatilidad estocástica para valoración de riesgo cambiario

Market risk valuation is very important not only for financial theoreticians but for the applied job. When using daily time series on exchange rates, the use of RiskMetricsTM strategy, in conjunction with GARCH models, is common place. Many authors, in several contexts, have pointed out the inconveni...

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Autores:
Zea Castro, José Fernando
Tipo de recurso:
Fecha de publicación:
2012
Institución:
Universidad Santo Tomás
Repositorio:
Universidad Santo Tomás
Idioma:
spa
OAI Identifier:
oai:repository.usta.edu.co:11634/39574
Acceso en línea:
https://revistas.usantotomas.edu.co/index.php/estadistica/article/view/64
http://hdl.handle.net/11634/39574
Palabra clave:
Modelos GARCH
modelos de volatilidad estocástica
valor en riesgo
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License
http://purl.org/coar/access_right/c_abf2