Browsing Applied and Social Sciences by Author "Ceretta, Paulo Sérgio"

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    • On the existence of an optimal estimation window for risk measures 

      Righi, Marcelo Brutti; Ceretta, Paulo Sérgio (2016) [Journal article]
      We investigate whether there can exist an optimal estimation window for financial risk measures. Accordingly, we propose a procedure that achieves optimal estimation window by minimizing estimation bias. Using results from ...