PERFORMANCE OF CONDITIONAL MODELS IN GOLD RISK MANAGEMENT
ABSTRACT Even with studies to confront different risk models for gold, there is no consensus about what is the best approach or models when considering the presence of extreme negative values. To that, we employ a backtesting in conditional models with distinct distributions in order to estimate VaR...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidade Federal do Rio Grande do Sul
2015-12-01
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| Series: | REAd: Revista Eletrônica de Administração |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-23112015000300648&lng=en&tlng=en |