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Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAViaR para el mercado de valores colombi

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  • Charle Augusto Llondoño

    ()

Abstract

Existen diversas metodologías para calcular el valor en riesgo (VaR) que pretenden capturar principalmente el riesgo de mercado al que están expuestas las instituciones financieras. Siendo el modelo de valor en riesgo condicional autorregresivo (CAViaR) de Engle y Manganelli (1999, 2001, 2004) una buena aproximación empírica para la verdadera medida VaR, tanto para cubrir el riesgo como para el cumplimiento de la regulación bancaria. Por consiguiente, el objetivo de este artículo es realizar una aproximación al modelo CAViaR para el mercado de valores colombiano, empleando diferentes factores de riesgo macroeconómicos y financieros como los esbozados en Chernozhukov y Umantsev (2001); además, se busca establecer qué regla empírica permite una mejor captura del comportamiento del índice general de la Bolsa de Valores de Colombia (IGBC).

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Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): (2011)
Issue (Month): ()
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Handle: RePEc:col:000107:009443

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Related research

Keywords: valor en riesgo condicional autorregresivo; regresión del cuantil; redes neuronales artificiales; variables macroeconómicas y financieras; regulación bancaria; mercado de valores.;

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  1. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2005. "Medidas De Riesgo, Caracteristicas Y Técnicas De Medición: Una Aplicación Del Var Y El Es A La Tasa Interbancaria De Colombia," BORRADORES DE ECONOMIA 003198, BANCO DE LA REPÚBLICA.
  2. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
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  7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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  10. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  11. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  12. George Koutoulas & Lawrence Kryzanowski, 1994. "Integration or Segmentation of the Canadian Stock Market: Evidence Based on the APT," Canadian Journal of Economics, Canadian Economics Association, vol. 27(2), pages 329-51, May.
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