Long run peso/dollar exchange rates and extreme value behavior : Value at Risk modeling
Year of publication: |
2013
|
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Authors: | Jesús, Raúl de ; Ortiz, Edgar ; Cabello, Alejandra |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 24.2013, p. 139-152
|
Subject: | VaR | Extreme value theory | Exchange rates risk | Emerging markets risk | Risikomaß | Risk measure | Wechselkurs | Exchange rate | Schwellenländer | Emerging economies | Risikomanagement | Risk management | Ausreißer | Outliers | Währungsrisiko | Exchange rate risk | Theorie | Theory | ARCH-Modell | ARCH model |
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