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Time-scale decomposition of price transmission in international markets
(M E SHARPE INC, 2005-07)
This paper focuses on return spillovers in stock markets at different time scales using wavelet analysis. We look at eight stock indices that comprise the G7 countries, emerging Asia, Western Europe, Eastern Europe and the ...
Detection of Breakpoints in Volatility
(Universidad de Chile. Facultad de Economía y Negocios, 2004)
In this article, we test for the presence of structural breaks in volatility by two
alternative approaches: the Iterative Cumulative Sum of Squares (ICSS)
algorithm and wavelet analysis. Specifically, we look at the ...
Stock market turmoil - Worldwide effects of Middle East conflicts
(2007)
This paper analyzes the effect of recent political conflicts in the Middle East on stock markets worldwide. In particular it studies how political instability-mainly due to the war in Iraq-has affected the long-term ...
Detection of Breackpoints in Volatility
(Jorge Gregoire, 2004)
In this article, we test for the presence of structural breaks in volatility by two
alternative approaches: the Iterative Cumulative Sum of Squares (ICSS)
algorithm and wavelet analysis. Specifically, we look at the ...
Testes do modelo capm condicional no mercado brasileiro: um estudo dos efeitos momento, tamanho e book-to-market no período de 1995 a 2008.
(Universidade Federal de Minas GeraisUFMG, 2009-06-26)
This work tries to verify the ability of the conditional CAPM model to explain anomalous returns of momentum, size and book-to-market using Lewellen and Nagels (2006) proposed methodology in the brazilian stock market. The ...
Sobre la volatilidad de la curva de rendimientos del mercado de deuda pública colombiano
(Universidad EAFITMaestría en Administración FinancieraEscuela de Economía y Finanzas, 2018)
This paper estimates the volatility of the Temporary Structure of Interest Rates (ETTI) of the Colombian public debt market and explains its relationship with macroeconomics fundamentals -- Starting from the parametric ...
Partición de la volatilidad para series de precios bursátiles: una nueva aproximación
(2016-12-19)
En este trabajo de tesis se comparan cuatro modelos autorregresivos condicionales heterocedasticos (ARCH), los cuales han sido comúnmente usados en la selección de portafolios y gestión de activos, así como en la valoración ...
Brazilian Regulatory Interventions, Volatility and Contagion: A VIRF analysis.Intervenções Regulatórias, Volatilidade e Contágio: Uma Análise VIRF
(Lociedade Brasileira de Finanças, 2014)
O impacto das intervenções do Banco Central Brasileiro no mercado cambial: uma análise de efetividade sobre a volatilidade
(2014-01-28)
Desde a adoção do sistema de câmbio flutuante pelo Banco Central do Brasil, tanto a autoridade monetária quanto o governo brasileiro têm instituído medidas convencionais e não convencionais de intervenção no mercado de ...
Relações entre o índice de basiléia e o nível de endividamento das famílias brasileiras
(Universidade Federal de Minas GeraisBrasilFCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVASUFMG, 2016)
The Basel Accord imposes a regulatory minimum capital requirement for banks to maintain
their liquidity and are less susceptible to shocks from the interconnection of the financial
system. Banks need to manage the dynamics ...