Regresión cuantílica como punto de partida en los modelos predictivos para el riesgo

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...
Read More

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,...
Read More