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Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
(2016-05-16)
Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model ...
Speculative bubbles under supply constraints, background risk and investment fraud in the art market.
We examine the unexplored effects on art markets of artist death (asset supply constraints), collectors' wealth (background risk) and forgery risk (risk of investment fraud), under short-sale constraints and risk aversion. ...
Speculative bubbles and contagion: analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model
(2015-09-24)
Revendo a definição e determinação de bolhas especulativas no contexto de contágio, este estudo analisa a bolha do DotCom nos mercados acionistas americanos e europeus usando o modelo de correlação condicional dinâmica ...
Descoberta de preços e especulação no mercado de milho brasileiro
(Universidade Federal de São CarlosUFSCarPrograma de Pós-Graduação em Economia - PPGEc-SoCâmpus Sorocaba, 2018-09-06)
University of São Carlos, Sorocaba, 2018.
Since the 2000s, several changes occurred in the Brazilian and international corn markets. In
Brazil, due primarily to the increasing importance of the winter crop, the central-west ...
Asset float and speculative bubbles
(Escola de Pós-Graduação em Economia da FGV, 2003-12-18)
We model the relationship between ftoat (the tradeable shares of an asset) and stock price bubbles. Investors trade a stock that initiaUy has a limited ftoat because of insider lock-up restrictions but the tradeable shares ...
Capitalism without conscience
How could one not remember The Prisoner – the cult British 60s series in which a giant bubble frantically chased the hero played by Patrick
McGoohan? These days, our world is in a similar situation – each and
every one ...
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias
(Universidade Federal de São CarlosUFSCarPrograma de Pós-Graduação em Economia - PPGEc-SoCâmpus Sorocaba, 2018-08-30)
We used agricultural commodities futures prices to identify speculative bubbles in the Brazilian
derivatives markets between 2008 and 2017. We applied the Generalized Supremum Augmented
Dickey-Fuller (GSADF) test to ...
Crise financeira: o caso japonês
(Nova Economia, 2014)