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Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate »

Source: Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Volume/Issue: 2007/290

Series: IMF Working Papers

Author(s): Marcos Souto , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868531

Keywords: stochastic volatility, fat-tail distributions, Monte Carlo estimation, covariances, time series, probability, probabilities, multivariate stochastic volatility,

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is pos...

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate »

Volume/Issue: 2007/290

Series: IMF Working Papers

Author(s): Marcos Souto , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

DOI: http://dx.doi.org/10.5089/9781451868531.001

ISBN: 9781451868531

Keywords: stochastic volatility, fat-tail distributions, Monte Carlo estimation, covariances, time series, probability, probabilities, multivariate stochastic volatility,

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is pos...