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Seminário do
Grupo de Inferência Bayesiana (GIB)
14/11/2008-14
horas
Sala de
seminários do Departamento de Estatística- UFSCar-São
Carlos-SP
Título:Quantile Estimation for Dependent Data: Applications to
Finance
Mauricio
Zevallos
Departamento de Estatistica, UNICAMP RESUMO: In this work are discussed several methodologies for estimating quantiles for time series data. These methods include: Conditional Extreme Value Theory, Conditional Quantile Autoregression, Conditional Autoregressive Heteroscedastic Models, among others. In addition, in order to compare these methodologies, applications on stock market risk estimation are presented. |