@techreport{20.500.12134/6238,
author = {Gamba-Santamaría, Santiago},
author = {Jaulín-Méndez, Oscar Fernando},
author = {Melo-Velandia, Luis Fernando},
author = {Quicazán-Moreno, Carlos Andrés},
year = {2016},
month = {2},
url = {https://repositorio.banrep.gov.co/handle/20.500.12134/6238},
abstract = {Value at Risk (VaR) is a market risk measure widely used by risk managers and market regulatory authorities. There is a variety of methodologies proposed in the literature for the estimation of VaR. However, few of them get to say something about its dist},
publisher = {Banco de la República},
booktitle = {Borradores de Economía},
volume = {Borradores de Economía; No. 927},
title = {Comparison of methods for estimating the uncertainty of value at risk},
keywords = {Value at risk},
keywords = {Confidence intervals},
keywords = {Data tilting},
keywords = {Subsample bootstrap},
doi = {https://doi.org/10.32468/be.927},
}