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Najarro, R., Téllez, G. (2017). Duration models and value at risk using high-frequency data for the peruvian stock market [Pontificia Universidad Católica del Perú]. http://hdl.handle.net/20.500.12404/7890
Najarro, R., Téllez, G. Duration models and value at risk using high-frequency data for the peruvian stock market []. PE: Pontificia Universidad Católica del Perú; 2017. http://hdl.handle.net/20.500.12404/7890
@mastersthesis{sunedu/2664303,
title = "Duration models and value at risk using high-frequency data for the peruvian stock market",
author = "Téllez De Vettori, Giannio",
publisher = "Pontificia Universidad Católica del Perú",
year = "2017"
}
Title: Duration models and value at risk using high-frequency data for the peruvian stock market
Authors(s): Najarro Chuchón, Ricardo; Téllez De Vettori, Giannio
Advisor(s): Rodríguez, Gabriel
Keywords: Bolsa de valores--Perú; Riesgo de mercado--Métodos estadísticos; Riesgo (Economía)--Modelos matemáticos
OCDE field: https://purl.org/pe-repo/ocde/ford#5.02.01
Issue Date: 20-Feb-2017
Institution: Pontificia Universidad Católica del Perú
Abstract: Most empirical studies in nance use data on a daily basis which is obtained by retaining
the last observation of the day and ignoring all intraday records. However, as a result of
the increased automatization of nancial markets and the evolution of computational trading
systems, intraday data bases that record every transaction along with their characteristics have
been stablished. These data sets prompted the development of a new area of research ( nance
with high frequency data), and in 1980 a literature based on the mechanisms of trading began
(forms of trading, rules on securities trading, market structure, etc.), originating the Theory
of Market Microstructure for the valuation of nancial assets, whose models advocate that
timing transmits information. Then the literature proposed an extension to risk management
by calculating the implied volatility, which is estimated by the realized volatility on an intraday
level, and its applications for a ner value at risk (VaR).
Link to repository: http://hdl.handle.net/20.500.12404/7890
Discipline: Economía
Grade or title grantor: Pontificia Universidad Católica del Perú. Escuela de Posgrado
Grade or title: Maestro en Economía
Register date: 20-Feb-2017; 20-Feb-2017
This item is licensed under a Creative Commons License