Buscar
Mostrando ítems 1-10 de 684
Options listing and the volatility of the underlying asset: a study on the derivative market function
(SSRN, 1996)
There is a lot of misunderstanding about derivative markets. Many people believes that they are a kind of casinos and have no utility to the investors. This work looks on the effects of options introduction in the Brazilian ...
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
(Escola de Pós-Graduação em Economia da FGV, 2004-06-03)
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ...
Estimation of volatility of selected oil production projects
(Elsevier Science BvAmsterdamHolanda, 2006)
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDYALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
(Sociedade Brasileira de Econometria, 1999)
Pricing Volatility Referenced AssetsApreçamento de Ativos Referenciados em Volatilidade
(Lociedade Brasileira de Finanças, 2006)
Options listing and the volatility of the underlying asset: a study on the derivative market functionOptions listing and the volatility of the underlying asset: a study on the derivative market function
(RAE - Revista de Administracao de EmpresasRAE - Revista de Administração de EmpresasRAE-Revista de Administração de Empresas, 1996)
Financial constraints,asset liquidity and investment volatility
(Escola de Pós-Graduação da FGV, 1998-12-17)
Reality check for volatility models
(Escola de Pós-Graduação em Economia da FGV, 2001-09-27)
Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type ...