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Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
(Escola de Pós-Graduação em Economia da FGV, 2003-06-30)
Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...
Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2002)
Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...
Forecasting of consumer demand with the use of multi-factor dynamic models
(Universidad del Zulia, 2019)
Generating covariances in multifactor CIR model
(Universidad Autónoma Metropolitana, Unidad Azcapotzalco, DCSH, Departamento de Administración, DCBI, Departamento de Sistemas., 2014-01-30)
RESUMEN: Se presenta el marco general para generar covarianzas entre instrumentos con tasas de interés libre de riesgo r(t) e instrumentos con intensidad de incumplimiento λ(t) , en el modelo Cox, Ingersoll, Ross (CIR) o ...
Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)
(2015-02-27)
This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor ...
Constructing common-factor portfolios
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-04-19)
In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic ...
Generating covariances in multifactor CIR modelGeneración de covarianzas con el modelo multifactorial CIR
(Universidad Autónoma Metropolitana, Unidad Azcapotzalco, DCSH, Departamento de Administración, DCBI, Departamento de Sistemas., 2016)
Multifactor spread models for cat bonds in the primary and secondary market
(Universidad EAFITMaestría en Matemáticas AplicadasEscuela de Ciencias. Departamento de Ciencias Básicas, 2014)
As a result of the reinsurance industry seeking for additional capital capacity in the financial markets, a new class of financial instruments for trading insurance related assets has emerged -- This class is known as ...
Modelagem de curva futura de energia elétrica utilizando o modelo HJM Multifatorial aplicada ao mercado brasileiro de energia elétrica
(2018-08-24)
For the purpose of obtaining the structure of future swap energy curves in the Brazilian market, this paper focuses on the numerical implementation of the Heath, Jarrow and Morton model (1992) using market information ...