ADMINISTRACIÓN Y ECONOMÍA DE LA EMPRESA
Fachbereich
Universidad EAFIT
Medellín, ColombiaPublikationen in Zusammenarbeit mit Forschern von Universidad EAFIT (2)
2014
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Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
Physica A: Statistical Mechanics and its Applications, Vol. 401, pp. 330-343
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VaR performance during the subprime and sovereign debt crises: An application to emerging markets
Emerging Markets Review, Vol. 20, pp. 23-41