Downside risk in commodity and equity markets
The aim of the present study is to analyse the tail risk of global commodities indices and a set of share indexes of several countries and regions. To measure the downside risk we use two tail risk measures, namely the Value-at-Risk (VaR) and the Conditional Value-at-Risk (CvaR), determined by param...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | conferenceObject |
| Language: | eng |
| Published: |
2019
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11328/2600 |
| Country: | Portugal |
| Oai: | oai:repositorio.uportu.pt:11328/2600 |