Controlando o pânico

Authors

  • Rubens Hossamu Morita GVCepe
  • Rodrigo De Losso da Silveira Bueno GVCepe
  • Ricardo Antônio Pires GVCepe

DOI:

https://doi.org/10.1590/S1413-80502008000100002

Keywords:

extreme value theory, VaR

Abstract

This article applies Danielsson and De Vries (1997) algorithm and parametric estimation methods to calculate the value-at-risk based upon the extreme distribution of Ibovespa and Industrial MSCI indexes. It shows that out of sample forecasts of both methods are better than using Normal distribution. The article suggest integrating both methods to calculate the value-at-risk in normal and extreme conditions.

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Published

2008-03-01

Issue

Vol. 12 No. 1 (2008)

Section

Papers

How to Cite

Morita, R. H., Bueno, R. D. L. da S., & Pires, R. A. (2008). Controlando o pânico. Economia Aplicada, 12(1), 29-54. https://doi.org/10.1590/S1413-80502008000100002