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Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America
(Universidad Nacional Autónoma de México, 2018)
What Exactly is 'Bad News' in Foreign Exchange Markets?: Evidence from Latin American Markets
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2008)
Economic activity, and financial and commodity markets’ shocks: an analysis of implied volatility indexes
This paper examines the dynamic short- and long-run asymmetric interactions and
causality between real economic activity and stock and gold markets volatility shocks using both
the cointegration Nonlinear Autoregressive ...
Verificação da existência de assimetria de informação no processo de emissão de ações no mercado brasileiro
(2002)
This paper seek to build a revision on asymmetric information in Brazilian stock market. The analysis will be conducted in the context of an equilibrium model of the issue-invest decision developed by Myers e Majluf. This ...
Anticipating Economic Market Crises Using Measures Of Collective Panic
(PUBLIC LIBRARY SCIENCESAN FRANCISCO, 2015)
Early online detection of high volatility clusters using Particle Filters
(Elsevier, 2016-07)
This work presents a novel online early detector of high-volatility clusters based on uGARCH models (a variation of the GARCH model), risk-sensitive particle-filtering-based estimators, and hypothesis testing procedures. ...
Modelagem da volatilidade em séries temporais financeiras via modelos GARCH com abordagem bayesiana
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2017-07-18)
In the last decades volatility has become a very important concept in the financial area, being used
to measure the risk of financial instruments. In this work, the focus of study is the modeling of
volatility, that ...
Asymmetric volatility spillovers of financial markets: an application to Colombia
(2019-01-31)
In this article we suggest how to quantify asymmetric volatility transmission between financial markets by transforming asset prices into cumulative positive and negative changes, while recognizing a time-varying covariance ...
Análisis del efecto apalancamiento en los rendimientos del IPC mediante una Cadena de Markov Monte Carlo antes, durante y después de la crisis subprime
(Universidad Autónoma Metropolitana (México). Unidad Azcapotzalco., 2015)
Este artículo se ocupa del estudio de los efectos asimétricos de la volatilidad de los rendimientos del Índice de Precios y Cotizaciones del mercado accionario mexicano para verificar si existe evidencia del efecto leverage ...