Multivariate Models to Forecast Portfolio Value at Risk: from the Dot- Com crisis to the global financial crisis

Multivariate Models to Forecast Portfolio Value at Risk: from the Dot- Com crisis to the global financial crisis

This study analyzed market risk of an international investment portfolio by means of a new methodological proposal based on Value-at- Risk, using the covariance matrix of multivariate GARCH-type models and the extreme value theory to realize if an international diversification strategy minimiz...

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Bibliographic Details
Main Author: Manuel Sousa Gabrie
Format: Article
Language:English
Published: Fundação Escola de Comércio Álvares Penteado 2014-09-01
Series:Revista Brasileira de Gestão De Negócios
Subjects:
Stock markets1
Value at Risk1
Multivariate GARCH models1
Extreme value theory1
Backtesting1
Online Access:http://rbgn.fecap.br/RBGN/article/view/1802

Internet

http://rbgn.fecap.br/RBGN/article/view/1802

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