Search Results - person:"Hotta, L.K."

Estimation of VaR Using Copula and Extreme Value Theory

Hotta, L. K.; Lucas, E. C.; Palaro, H. P - In: Multinational Finance Journal 12 (2008) 3-4, pp. 205-218

This paper proposes a method for estimating the VaR of a portfolio based on copula and extreme value theory. Each return is modeled by ARMA-GARCH models with the joint distribution of innovations modeled by copula. The marginal distributions are modeled by the generalized Pareto distribution in...

Persistent link: https://www.econbiz.de/10010937120

Estimation of VaR using copula and extreme value theory

Hotta, L. K.; Lucas, E. C.; Palaro, H. P. - In: Multinational finance journal : MF ; quarterly … 12 (2008) 3/4, pp. 205-218

Persistent link: https://www.econbiz.de/10003744261

Estimation of VaR using copula and extreme value theory

Hotta, L. K.; Lucas, E. C.; Palaro, H. P. - In: Multinational finance journal : MF ; quarterly … 12 (2008) 3/4, pp. 205-218

Persistent link: https://www.econbiz.de/10009879306

Alternative Models to extract asset volatility: a comparative study

Pereira, Pedro L. Valls; Hotta, L.K.; Souza, L.A.R. - Insper Instituto de Ensino e Pesquisa - 1999

Persistent link: https://www.econbiz.de/10005069989

The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models

Hotta, L.K. - In: International journal of forecasting 9 (1993) 1, pp. 85-94

Persistent link: https://www.econbiz.de/10007016182