Controlando o pânico

Controlando o pânico

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Este artigo aplica o algoritmo de Danielsson e De Vries (1997) e métodos de estimação paramétricos para calcular o "value-at-risk" baseado na distribuição dos extremos dos índices Ibovespa e MSCI Industrial. Mostra que as previsões fora da amostra, obtidas pelos métodos paramétrico e não-p...

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Bibliographic Details
Main Authors:	Rubens Hossamu Morita, Rodrigo De Losso da Silveira Bueno, Ricardo Antônio Pires
Format:	Article
Language:	Portuguese
Published:	Universidade de São Paulo 2008-03-01
Series:	Economia Aplicada
Subjects:	teoria de valores extremos VaR
Online Access:	http://www.revistas.usp.br/ecoa/article/view/970

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