The following paper aims to study the informational content about future volatility in Implicit and historical volatility. In order to do that, using data of Petrobrás Stocks and its options from january 2010 to december ...

In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain ...

The twentieth century was a period of outstanding economic growth together with an unequal income distribution. This paper analyses the international distribution of growth rates and its dynamics during the twentieth century. ...

This paper analyses the international distribution of GDP per capita growth rates and its dynamics during the twentieth century. We show that the century is characterized by a changing distribution of GDP per capita growth ...

We continue to study financial market models based on generalized telegraph processes with alternating velocities. The model is supplied with jumps occurring at the times of velocity switchings. This model is arbitrage-free ...

This paper proposes the historical simulation model to calculate the VaR, considering return ajusted by the realized volatility measured from intraday returns. The database consists of five most liquid share among the ...