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Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
(Elsevier B.V., 2016-02-01)
The modern portfolio theory has been trying to determine how an investor might allocate assets among the possible investments options. Since the seminal contribution provided by Harry Markowitz's theory of portfolio ...
Mensuração de risco de mercado com modelo Arma-Garch e distribuição T assimétrica
(2017-08-22)
A proposta do estudo é aplicar ao Ibovespa, modelo paramétrico de VaR de 1 dia, com distribuição dos retornos dinâmica, que procura apreciar características empíricas comumente apresentadas por séries financeiras, como ...
Graphing and measuring covid’s first wave impact on the Bolivian economy
(Universidad Católica Boliviana "San Pablo". IISEC., 2021-06-01)
The Bolivian monthly index of economic activity along with ARMA models are used in an attempt
to graph and measure the impact of Covid’s pandemic on the Bolivian economy. The accumulated
difference between the observed ...
Análise de volatilidade e risco do mercado transoceânico à vista deminério de ferro via modelos ARMA-GARCH e medidas de risco VaR eCVaR
(Universidade Federal de Minas GeraisUFMG, 2016-08-05)
With the change in the seaborne iron ore pricing mechanism in 2009, from an annual benchmark system to a system based on monthly spot prices, as well as the spot sales without a pre-agreement, market agents have to deal ...
Modelos combinados AR-GARCH governados por distribuições estáveis
(2013-11-26)
Neste trabalho estendemos a aplicação do modelo combinado AR-GARCH governado por distribuições GEV e apresentado por Zhao et. al. (2011) para um modelo governado por distribuições estáveis, já que estas distribuições ...
Implementación de cópulas para la estimación del valor en riesgo
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2015)
Dependency between the financial series is a key parameter used to estimate risk models. Value at Risk (VaR) is one of the most important measures used for financial risk management; currently there are different methods ...
Determinantes y pronóstico de la actividad bursátil del mercado accionario colombiano
(Universidad ESAN. ESAN EdicionesPE, 2018-06-01)
Purpose – To study the determinants and evolution of the trading activity in the Colombian Stock Market from 2007 to 2016. Design/methodology/approach – ARMA time series models were used, including several explanatory ...
Determinantes y pronóstico de la actividad bursátil del mercado accionario colombiano
(Universidad ESAN. ESAN EdicionesPE, 2018-06-01)
Purpose – To study the determinants and evolution of the trading activity in the Colombian Stock Market from 2007 to 2016. Design/methodology/approach – ARMA time series models were used, including several explanatory ...
Uma nova proposta de cálculo do prêmio de risco: uma análise no mercado de capitais brasileiro
(Universidade Federal de Pernambuco, 2015)