Estimação não-paramétrica do risco de cauda
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.
Year of publication: |
2013-07
|
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Authors: | Almeida, Caio Ibsen Rodrigues ; Vicente, José Valentim Machado ; Guillen, Osmani Texeira de Carvalho |
Institutions: | Central Bank of Brazil, Research Department |
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