Estimación bayesiana del valor en riesgo: una aplicación para el mercado de valores colombiano
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References listed on IDEAS
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Cited by:
- Luis Melo Velandia & Luis Fernando Melo Velandia, 2019.
"Regresión cuantílica dinámica para la medición del valor en riesgo: Una aplicación a datos colombianos,"
Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 38(76), pages 23-50, January.
- Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016. "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia 939, Banco de la Republica de Colombia.
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More about this item
Keywords
valor en riesgo condicional autorregresivo; regresión cuantil; estadística bayesiana; variables macroeconómicas y financieras; regulación bancaria; mercado de valores.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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