Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates
The investigation of the stochastic behavior of financial series has become widespread over the literature. There is empirical and theoretical evidence that the total stock price change over a long period is usually concentrated in the a few hectic runs of trading days. The drawdown is a random vari...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Brazilian Society of Finance
2004-12-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1142 |