Use of stochastic volatility models for exchange rate risk valuation

Market risk valuation is very important not only for financial theoreticians but for the applied job. When using daily time series on exchange rates, the use of RiskMetricsTM strategy, in conjunction with GARCH models, is common place. Many authors, in several contexts, have pointed out the inconveni...

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Detalles Bibliográficos
Autor Principal: Zea Castro, José Fernando
Formato: Artículo (Article)
Lenguaje:Español (Spanish)
Publicado: Universidad Santo Tomás 2012
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