The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest

Detalhes bibliográficos
Data de Publicação: 2019
Tipo de documento: Dissertação
Título da fonte: Portal de Dados Abertos da CAPES
Texto Completo: https://sucupira.capes.gov.br/sucupira/public/consultas/coleta/trabalhoConclusao/viewTrabalhoConclusao.jsf?popup=true&id_trabalho=7635927
id BRCRIS_bb225791b1315861c9ff1fca4f7020b5
network_acronym_str CAPES
network_name_str Portal de Dados Abertos da CAPES
dc.title.pt-BR.fl_str_mv The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
title The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
spellingShingle The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
" Expectil. Teoria do valor extremo. Backtesting. GJR-GARCH. Mercado de a¸c˜oes."
"Expectil. Extreme value theory (EVT). Backtesting. GJR-Garch. Stock market."
title_short The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
title_full The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
title_fullStr The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
title_full_unstemmed The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
title_sort The Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest
topic " Expectil. Teoria do valor extremo. Backtesting. GJR-GARCH. Mercado de a¸c˜oes."
"Expectil. Extreme value theory (EVT). Backtesting. GJR-Garch. Stock market."
publishDate 2019
format masterThesis
url https://sucupira.capes.gov.br/sucupira/public/consultas/coleta/trabalhoConclusao/viewTrabalhoConclusao.jsf?popup=true&id_trabalho=7635927
author_role author
dc.contributor.advisor1.fl_str_mv HUDSON DA SILVA TORRENT
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/4598353131118655
dc.contributor.advisor1orcid.por.fl_str_mv https://orcid.org/0000-0002-4760-0404
dc.publisher.none.fl_str_mv UNIVERSIDADE FEDERAL DO RIO GRANDE DO SUL
publisher.none.fl_str_mv UNIVERSIDADE FEDERAL DO RIO GRANDE DO SUL
instname_str UNIVERSIDADE FEDERAL DO RIO GRANDE DO SUL
dc.publisher.program.fl_str_mv ECONOMIA
dc.description.course.none.fl_txt_mv ECONOMIA
reponame_str Portal de Dados Abertos da CAPES
collection Portal de Dados Abertos da CAPES
spelling CAPESPortal de Dados Abertos da CAPESThe Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtestThe Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtestThe Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtestThe Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtestThe Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtestThe Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtestThe Edge of Expectil: Modelling Expectil with EVT and compare it using comparative backtest" Expectil. Teoria do valor extremo. Backtesting. GJR-GARCH. Mercado de a¸c˜oes."2019masterThesishttps://sucupira.capes.gov.br/sucupira/public/consultas/coleta/trabalhoConclusao/viewTrabalhoConclusao.jsf?popup=true&id_trabalho=7635927authorHUDSON DA SILVA TORRENThttp://lattes.cnpq.br/4598353131118655https://orcid.org/0000-0002-4760-0404UNIVERSIDADE FEDERAL DO RIO GRANDE DO SULUNIVERSIDADE FEDERAL DO RIO GRANDE DO SULUNIVERSIDADE FEDERAL DO RIO GRANDE DO SULECONOMIAECONOMIAPortal de Dados Abertos da CAPESPortal de Dados Abertos da CAPES
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