Open AccessAnalysis, application and comparison of three statistical methods for the estimation of VaR and EVaR
Author(s) -
Jaime Iván Urbina Rugeiro,
Gabriel Núñez Antonio,
Patricia Saavedra Barrera
Publication year - 2016
Publication title -
estocástica finanzas y riesgo (en línea)/estocástica finanzas y riesgo
Language(s) - English
Resource type - Journals
eISSN - 2007-5383
pISSN - 2007-5375
DOI - 10.24275/uam/azc/dcsh/efr/2016v6n1/urbina
Subject(s) - econometrics , portfolio , value at risk , stock (firearms) , estimation , actuarial science , context (archaeology) , investment portfolio , investment (military) , investment strategy , extreme value theory , statistics , computer science , economics , risk management , mathematics , financial economics , finance , engineering , geography , mechanical engineering , management , archaeology , politics , political science , law , market liquidity