Previsão de value-at-risk e expected shortfall para mercados emergentes usando modelos FIGARCH
Alternative title: | Forecasting value-at-risk and expected shortfall for emerging markets using FIGARCH models |
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Year of publication: |
July 2015
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Authors: | Moraes, Alex Sandro Monteiro de ; Pinto, Antônio Carlos Figueiredo ; Klotzle, Marcelo Cabus |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 13.2015, 3, p. 394-437
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Subject: | Expected shortfall | long-memory | volatility forecast | multiple steps ahead forecast | value-at-risk |
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