Estimação não-paramétrica do risco de cauda

Caio Almeida, José Vicente and Osmani Guillen

No 311, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: Forecasting financial crises has enormous practical importance. In this paper we propose a new measure of risk of extreme loss using data of a cross-section of asset prices. This measure presents as practical advantage the fact that it does not depend on the existence of a liquid market of options. Our results show that our risk measure has significant predictive power of the market return one month ahead and the consumption one quarterly ahead.

Date: 2013-07
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:311

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