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Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2019-04-26)
One of the most important informations in financial market is variability of an asset. Several
models have been proposed in literature with a view of to evaluate this phenomenon. Among
them we have the GARCH models. This ...
Metal Returns, Stock Returns And Stock Market Volatility
(PONTIFICIA UNIV CATOLICA PERUSAN MIGUEL, 2015)
The Finite-Sample Size of the BDS Test for GARCH Standardized ResidualsThe Finite-Sample Size of the BDS Test for GARCH Standardized Residuals
(Sociedade Brasileira de Econometria, 2012)
The finite-sample size of the BDS test for GARCH standardized residuals
(2014-05-05)
This paper uses a multivariate response surface methodology to analyze the size distortion of the BDS test when applied to standardized residuals of rst-order GARCH processes. The results show that the asymptotic standard ...
The finite-sample size of the BDS test for GARCH standardized residuals
(Sociedade Brasileira de Econometria, 2012-04-25)
This paper uses a multivariate response surface methodology to analyze the size distortion of the BDS test when applied to standardized residuals of rst-order GARCH processes. The results show that the asymptotic standard ...