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Scale-free tails in colombian financial indexes: a primer
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2015-07-01)
A maximum likelihood method for estimating the power-law exponent verifies that the positive and negative tails of the Colombian stock market index (IGBC) and the Colombian peso exchange rate (TRM) approximate a scale-free ...
Desenvolvimento de um simulador de mercado artificial com opções financeiras para a interação de agentes externos
(Universidade Federal de Minas GeraisUFMG, 2015-09-18)
The use of computational tools in teaching activities is becoming increasingly common, which is causing the demand for technological products to support education to grow. In this sense, starting from the artificial stock ...
Statistical Analysis of Bitcoin in a Multivariate Framework
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2020-07-17)
This work elaborates on the statistical study of the first cryptocurrency made: Bitcoin.
It presents a brief introduction to the basic concepts behind the functioning of the
entity, as well as some studies regarding ...
Multifractal regime transition in a modified minority game model
(Pergamon-Elsevier B.V. Ltd, 2013)
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-04-24)
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-11-05)
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...
A note on the forward and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-07-12)
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...
BRIC (Brasil, Rússia, Índia e China): uma análise da volatilidade da bolsa de valores – jan/2005 a mar/2010
(Universidade do Vale do Rio dos Sinos, 2011-06-30)
This study examines the volatility of the stock exchange for the BRIC countries from January 2005 to March 2010. The research aims to verify the existence of the contagion effect between these emerging markets. We used ...
BRIC (Brasil, Rússia, Índia e China): uma análise da volatilidade da bolsa de valores – jan/2005 a mar/2010
(Universidade do Vale do Rio dos Sinos, 2011-06-30)
This study examines the volatility of the stock exchange for the BRIC countries from January 2005 to March 2010. The research aims to verify the existence of the contagion effect between these emerging markets. We used ...
The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-04-04)
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...