VaR and CVaR estimates in BRIC's oil sector : a normal inverse Gaussian distribution approach
Eduardo Sánchez Ruenes, José Antonio Núñez Mora and Martha Beatriz Mota Aragón
| 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 | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Erdölindustrie | Oil industry |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.24275/ETYPUAM/NE/522020/Sánchez [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012617869