IDEAS home Printed from https://ideas.repec.org/p/bcb/wpaper/311.html
   My bibliography  Save this paper

Estimação não-paramétrica do risco de cauda

Author

Listed:
  • Caio Ibsen Rodrigues Almeida
  • José Valentim Machado Vicente
  • Osmani Texeira de Carvalho Guillen

Abstract

Forecasting financial crises has enormous practical importance. In this paper we propose a new measure of risk of extreme loss using data of a cross-section of asset prices. This measure presents as practical advantage the fact that it does not depend on the existence of a liquid market of options. Our results show that our risk measure has significant predictive power of the market return one month ahead and the consumption one quarterly ahead.

Suggested Citation

  • Caio Ibsen Rodrigues Almeida & José Valentim Machado Vicente & Osmani Texeira de Carvalho Guillen, 2013. "Estimação não-paramétrica do risco de cauda," Working Papers Series 311, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:311
    as

    Download full text from publisher

    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/TD311.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:311. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rodrigo Barbone Gonzalez (email available below). General contact details of provider: https://www.bcb.gov.br/en .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.