de Jesús, Raúl; Ortiz, Edgar; Cabello, Alejandra - In: The North American Journal of Economics and Finance 24 (2013) C, pp. 139-152
We apply an extended VaR integrating a generalized extreme value distribution to estimate potential losses from investing in the peso/dollar exchange market using daily data for the period 1970–2007; the block maxima approach is used to minimize impact from dependency in prices due to the presence...