Modeling and forecasting intraday VaR of an exchange rate portfolio-Reference-Cited by-同舟云学术

Modeling and forecasting intraday VaR of an exchange rate portfolio

Published:2018-08-10 Issue:7 Volume:37 Page:729-738
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Abbara Omar¹²^ORCID,Zevallos Mauricio²

Affiliation:

1. Canvas Capital SA; Rua Professor Atilio Innocenti, 165, 15th floor zip code 04538-000 Sao Paulo,SP Brazil

2. Department of Statistics; University of Campinas; Rua Sergio Buarque de Holanda, 651, Cidade Universitaria, Barao Geraldo zip code 3083-859 Campinas Brazil

Funder

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Fundação de Amparo à Pesquisa do Estado de São Paulo

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2540/fullpdf

Reference30 articles.

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5. Models for construction of multivariate dependence;Berg;European Journal of Finance,2009

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