Andrés Eduardo Jiménez Gómez
Biographic Data
| ID | 4166950 |
|---|---|
| NAME | Andrés Eduardo Jiménez Gómez |
| GIVEN NAMES | Andrés Eduardo Jiménez |
| FAMILY NAME | Gómez |
| SIGNATURE | GÓMEZ A E J |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2016 |
| LATEST PUBLICATION YEAR | 2016 |
| H-INDEX | 0 |
Modelación de la asimetría y la curtosis condicionales en series financieras colombianas
Traditional methodologies used to calculate the value at risk and conditional value at risk usually model the first and second moments of the series, assuming that the third and fourth moments are constant. This paper uses the methodology proposed by Hansen (1994) to model the first four moments of the series, in particular, several parametric shapes are used to model the skewness and kurtosis. The traditional measures of VaR, CVaR and proposals …
No prominent works on this page.
Modelación de la asimetría y la curtosis condicionales en series financieras colombianas
Traditional methodologies used to calculate the value at risk and conditional value at risk usually model the first and second moments of the series, assuming that the third and fourth moments are constant. This paper uses the methodology proposed by Hansen (1994) to model the first four moments of the series, in particular, several parametric shapes are used to model the skewness and kurtosis. The traditional measures of VaR, CVaR and proposals …
CVAR (1 works) · Econometrics (1 works) · Economics (1 works) · Expected shortfall (1 works) · Financial Risk and Volatility Modeling (1 works) · Insurance and Financial Risk Management (1 works) · Kurtosis (1 works) · Market Dynamics and Volatility (1 works) · Mathematics (1 works) · Parametric statistics (1 works)