Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana (A conditional approach to VaR with multivariate α-stable sub-Gaussian distributions)
Abstract The purpose of this investigation is to propose a multivariate volatility model that takes into consideration time varying volatility and the property of the α-stable sub-Gaussian distribution to model heavy tails. The principal assumption is that returns follow a sub-Gaussian distribution...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universidad Autónoma de Nuevo León, Facultad de Economía
2018-04-01
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| Series: | Ensayos Revista de Economía |
| Subjects: | |
| Online Access: | http://ensayos.uanl.mx/index.php/ensayos/article/view/121 |