TY  - JOUR 
TI  - Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries
PB  - International Academy of Business and Ecomomics
PY  - 2015
issn 1546-2609e

AB  - This document evaluates the performance of 36 different approaches for the estimation of the Value at Risk (VaR), parametric and non-parametric, of a representative portfolio for 5 Latin American countries (Argentina, Brazil, Chile, Colombia and Peru) with and without the day of the week effects (DOW). After finding the approach that better captures the risk set out for each portfolio we found that the inclusion of the day-of-the- week effect do not improve the risk metrics in Brazil and Argentina; but it does contribute in the case of Colombia, Chile and Peru.
KW  - Economía
KW  - Economics
KW  - Administración de riesgos
KW  - Evaluación de riesgos
KW  - Valor en riesgo
KW  - Riesgo (Finanzas)
KW  - Análisis financiero
KW  - Argentina
KW  - Brasil
KW  - Chile
KW  - Colombia
KW  - Perú
UR  - http://repository.icesi.edu.co/biblioteca_digital/handle/10906/82370
ER  -