IDEAS home Printed from
   My bibliography  Save this paper

Estimação não-paramétrica do risco de cauda


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


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

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.