Browsing Economía by Subject "Value-at-Risk"

Now showing items 1-2 of 2

    • A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns 

      Zevallos, Mauricio (Pontificia Universidad Católica del Perú. Fondo EditorialPE, 2019-10-29)
      In this paper I present a model to forecast the daily Value at Risk (VaR) of the Peruvian stock market (measured through the general index of the Lima Stock Exchange: the IGBVL) based on intraday (high-frequency) data. ...

    • Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach 

      Abanto-Valle, Carlos A.; Garrafa-Aragón, Hernán B. (Pontificia Universidad Católica del Perú. Fondo EditorialPE, 2019-09-16)
      This paper extends the threshold stochastic volatility (THSV) model specification proposed in So et al. (2002) and Chen et al. (2008) by incorporating thick-tails in the mean equation innovation using the scale mixture of ...