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  • Search: person:"Hotta, L.K."
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Year of publication
Subject
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Estimation theory 1 Multivariate Analyse 1 Multivariate analysis 1 Risikomaß 1 Risk measure 1 Schätztheorie 1 VaR 1 conditional copula 1 extreme value theory 1 risk measures 1
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Online availability
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Free 1
Type of publication
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Article 4 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 3 English 2
Author
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Hotta, L. K. 3 Lucas, E. C. 3 Hotta, L.K. 2 Palaro, H. P. 2 Palaro, H. P 1 Pereira, Pedro L. Valls 1 Souza, L.A.R. 1
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Institution
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Insper Instituto de Ensino e Pesquisa 1
Published in...
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Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society 2 Finance Lab Working Papers 1 International journal of forecasting 1 Multinational Finance Journal 1
Source
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OLC EcoSci 2 RePEc 2 ECONIS (ZBW) 1
Showing 1 - 5 of 5
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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
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Cover Image
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
Saved in:
Cover Image
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
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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
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Cover Image
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
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