Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
[Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carlo Simulation]
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More about this item
KeywordsVaR; GARCH; Monte Carlo Simulation.;
All these keywords.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
StatisticsAccess and download statistics
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