Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Mendes, D. A. & Mendes, V. (2014). Volatility and Risk Estimation with Nonlinear Methods. 3rd International Conference on Dynamics, Games and Science.
Exportar Referência (IEEE) 
D. E. Mendes and V. M. Mendes,  "Volatility and Risk Estimation with Nonlinear Methods", in 3rd Int. Conf. on Dynamics, Games and Science, Porto, 2014
Exportar BibTeX 
@misc{mendes2014_1732200406559,
	author = "Mendes, D. A. and Mendes, V.",
	title = "Volatility and Risk Estimation with Nonlinear Methods",
	year = "2014",
	howpublished = "Outro",
	url = "http://www.fc.up.pt/dgsiii/programme.html"
}
Exportar RIS 
TY  - CPAPER
TI  - Volatility and Risk Estimation with Nonlinear Methods
T2  - 3rd International Conference on Dynamics, Games and Science
AU  - Mendes, D. A.
AU  - Mendes, V.
PY  - 2014
CY  - Porto
UR  - http://www.fc.up.pt/dgsiii/programme.html
AB  - We model and estimate the conditional variance (volatility), in order to calculate VaR by means of the heteroskedastic models GARCH(1,1), RiskMetrics, EGARCH(1,1) and GJR-GARCH(1,1), both under Gaussian and t-Student conditional distributions.
  Existence of structural breaks has been tested by using the Bai Perron (2009) test. Structural breaks in financial series concur to leptokurtic distributions of the returns, and also explain the increase of persistence in the volatility models.
  In order to evaluate the performance of the various methods to calculate Value-at-Risk, backtesting procedures are applied
ER  -