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Análisis comparativo de las metodologías de estimación semiparamétricas y vía cópulas del Valor en Riesgo (VaR) en el mercado accionario colombiano

Author

Listed:
  • Miguel Antonio Alba Suárez

    (Universidad Santo Tomás, Colombia)

  • Wilmer Pineda-Ríos

    (Universidad Santo Tomás, Colombia)

  • Javier Deaza Chaves

    (Universidad Santo Tomás, Colombia)

Abstract

Este artículo de investigación ilustra distintos tipos de metodologías estadísticas con el objetivo de realizar una estimación adecuada para el valor en riesgo (VaR), implementando el uso de métodos semiparamétricos y una clase flexible de cópulas nombradas como (VineCopulas) encontrando que en las técnicas de estimación al incluir el manejo de los patrones complejos de dependencia no lineal en el modelamiento de los activos financieros, se logra explicar la volatilidad y los movimientos dinámicos del mercado. La flexibilidad de los modelos presentados con el uso de Cópulas y metodologías semiparamétricas como la quasiverosimilitud (QMLE) y teoría de valor extremo (EVT) permitió la adecuada estimación del VaR en el mercado de renta variable Colombiano.

Suggested Citation

  • Miguel Antonio Alba Suárez & Wilmer Pineda-Ríos & Javier Deaza Chaves, 2019. "Análisis comparativo de las metodologías de estimación semiparamétricas y vía cópulas del Valor en Riesgo (VaR) en el mercado accionario colombiano," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 279-307, Abril-Jun.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:2:p:279-307
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    References listed on IDEAS

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    More about this item

    Keywords

    Mercado accionario; EVT; QMLE; Semiparamétrico Valor en Riesgo; Vine Cópulas;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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