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Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
(2018-03)
Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present ...
Real options with priced regime-switching risk
(World Scientific, 2013-08)
We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are ...
Mudanças de regimes na função de reação do Banco Central do Brasil: uma abordagem utilizando markov regime switching
(2015)
The goal of this paper is to identify the occurrence, duration and transition probabilities of different monetary policy regimes in Brazil since the implementation of the inflation-targeting regime in 1999. To estimate the ...
Dynamic hedging in Markov regimes
(2008-10-02)
This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and ...
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
(Routledge Journals, Taylor & Francis Ltd, 2016)
Over the last decades, the transmissions of international financial events have been the subject of many academic studies focused on multivariate volatility models. This study evaluates the financial contagion between stock ...
A Markov-switching approach to the study of citations in academic journals
(Elsevier, 2020-11)
In this paper, we introduce a Markovian approach to study the stability and growth of citations in academic journals by featuring a regime-switching analysis. We characterize the regime structure exhibited by the series ...
The Relation between Expected Returns and Volatility in the Brazilian Stock MarketThe Relation between Expected Returns and Volatility in the Brazilian Stock Market
(Sociedade Brasileira de Econometria, 2011)
Ensaios em alocação de portfólio com mudança de regime
(2014-08-15)
Uma das principais características dos ativos financeiros é a mudança de regime. Os preços dos ativos apresentam pouca variabilidade nos períodos de normalidade e possuem quedas inesperadas e são instáveis nos períodos de ...