VaR and CVaR estimates in BRIC's oil sector : a normal inverse Gaussian distribution approach
Alternative title: | Estimaciones de VaR y CVaR en el sector petrolero de los BRIC |
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Year of publication: |
2020
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Authors: | Ruenes, Sánchez ; Núñez Mora, José Antonio ; Mota Aragón, Martha Beatriz |
Published in: |
Economía teoría y práctica. - México, DF : [Verlag nicht ermittelbar], ISSN 2448-7481, ZDB-ID 2517303-0. - Vol. 28.2020, 52, p. 207-236
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Subject: | Value at Risk (var) | Conditional Value at Risk (cvar) | Normal Inverse Gauss-ian (nig) distribution | oil equity returns | BRIC economies | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | BRICS-Staaten | BRICS countries | Kapitaleinkommen | Capital income | Volatilität | Volatility | Erdölindustrie | Oil industry | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model |
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