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- W2087678857 abstract "The purpose of this research is to implement the Bayesian quantile regression methodology in the estimation of the Value at Risk, VaR, in the colombian stock market. For this objective, some regulatory requirements on market risk are compared using the APARCH model, and traditional quantile regressions. These requirements are defined by the Colombia's Financial Superintendence where they address methodologies, performance measures and risk factors relevant to the calculation of the VaR. We found out that the later technique has a greater capacity to adapt to the patterns exhibited by a portfolio of Colombian stock given several performance measures." @default.
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- W2087678857 date "2014-08-31" @default.
- W2087678857 modified "2023-10-05" @default.
- W2087678857 title "Estimación bayesiana del valor en riesgo: una aplicación para el mercado de valores colombiano" @default.
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- W2087678857 doi "https://doi.org/10.15446/cuad.econ.v33n63.45351" @default.
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