QUANTILE REGRESSION AS A STARTING POINT IN PREDICTIVE RISK MODELS
REGRESIÓN CUANTÍLICA COMO PUNTO DE PARTIDA EN LOS MODELOS PREDICTIVOS PARA EL RIESGO
Albert Pitarque, Ana María Pérez-Marín1, Montserrat Guillen
Dept. Econometría, Riskcenter-IREA, Universidad de Barcelona
Fecha de recepción: 1 de agosto de 2019
Fecha de aceptación: 23 de octubre de 2019
Abstract
Given a risk level or tolerance, quantile regression is a predictive model that fits the corresponding percentile of the contin...
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Valor en riesgo
A COMPARISON OF THE EXTREME VALUE THEORY AND GARCH MODELS IN TERMS OF RISK MEASURES
A COMPARISON OF THE EXTREME VALUE THEORY AND GARCH MODELS IN TERMS OF RISK MEASURES
Ezgi Nevruz y Sule Sahin
Artículo en Anales del Instituto de Actuarios Españoles 2018
Abstract
In this paper, we apply extreme value theory (EVT) and time series models to eight developed and emerging stock markets published in the Morgan Stanley Capital International (MSCI) Index. Based on the Human Development Index (HDI) rankings, which are consistent with the MSCI index, we analyse Singapore, Spain,...
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