Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - In: Estudios de economía 41 (2014) 1, pp. 5-48
risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …
