2   Artículos

 
en línea
Jaime Enrique Lincovil,Chang Chiann     Pág. 56 - 76
Evaluating forecasts of risk measures, such as value?at?risk (VaR) and expected shortfall (ES), is an important process for financial institutions. Backtesting procedures were introduced to assess the efficiency of these forecasts. In this paper, we comp... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

 
en línea
Pedro Alberto Morettin,Clélia Maria de Castro Toloi,Chang Chiann,José Carlos Simon de Miranda     Pág. 263 - 281
We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data a... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

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