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Modelagem da volatilidade condicional incorporando o efeito OVERNIGHT ao tradicional modelo GARCH: um estudo com ações de alta liquidez da BM&FBovespa
(Universidade Federal de Minas GeraisBrasilFCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVASUFMG, 2016)
The volatility is widely studied in Finance, because it is a fundamental parameter in the
pricing of derivatives, the efficient allocation of portfolios and risk management. We believed
that during non-regular period of ...
Evaluating the performance of degrees of freedom estimation in asymmetric GARCH models with t-student innovations
(Sociedade Brasileira de Econometria, 2021)
Estimating the returns to education using a parametric control function approach: evidences for a developing country
(Sociedade Brasileira de Econometria, 2020)
A Common-feature approach for testing present-value restrictions with financial data
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-02-24)
It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) ...
Hedging and optimization of energy asset portfolios
This thesis includes three papers on hedging and optimization of energy asset portfolios. The regulatory scheme for natural gas (NG) prices in Mexico is described and the behavior of international and domestic gas prices ...
Volatilidad y dinámica de los precios del petróleo aplicación y estimación de modelos de reversión a la media con saltos
(EconomíaFacultad de Economía, 2006)
Modelagem da volatilidade em séries temporais financeiras via modelos GARCH com abordagem Bayesiana
(Universidade de São PauloBR, 2021)
Estimação e previsão no processo INARCH(2)
(Universidade Federal do Rio Grande do NorteBrasilUFRNPROGRAMA DE PÓS-GRADUAÇÃO EM MATEMÁTICA APLICADA E ESTATÍSTICA, 2016-02-05)
In the last decades the study of integer-valued time series has gained notoriety due
to its broad applicability (modeling the number of car accidents in a given highway,
or the number of people infected by a virus are ...
Modelación del riesgo del mercado: el caso de la papa negra en Bogotá.
(Corporación Universitaria Minuto de DiosUNIMINUTO Virtual y a Distancia, 2017-05)