@unpublished {5019,
	title = {Risk Measure Estimation on Fiegarch Processes},
	year = {2013},
	type = {Article},
	abstract = {<p>We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a simulated study regarding the estimation of the risk measure VaRp on FIEGARCH processes. We consider the distribution function of the portfolio log-returns (univariate case) and the multivariate distribution function of the risk-factor changes (multivariate case). We also compare the performance of the risk measures VaRp, ESp and MaxLoss for a portfolio composed by stocks of four Brazilian companies.</p>
},
	author = {Prass, Taiane Schaedler and Lopes, S{\'\i}lvia Regina Costa}
}
