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Monte Carlo Test for Stochastic Trend in Space State Models for the Location-Scale Family
(Sociedade Brasileira de Econometria, 2021)
Tree-structured smooth transition models
(Escola de Pós-Graduação em Economia da FGV, 2005-11-03)
The goal of this paper is to introduce a class of tree-structured models that combines aspects of regression trees and smooth transition regression models. The model is called the Smooth Transition Regression Tree (STR-Tree). ...
Identification of nonlinear structures using discrete-time Volterra series
(Abcm Brazilian Soc Mechanical Sciences & Engineering, 2014-05-01)
Mathematical modeling of mechanical structures is an important research area in structural dynamics. The goal is to obtain a model that accurately predicts the dynamics of the system. However, the nonlinear effects caused ...
The role of no-arbitrage on forecasting: lessons from a parametric term structure model
(Escola de Pós-Graduação em Economia da FGV, 2007-10-01)
Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, ...
Approximating risk premium on a parametric arbitrage-free term structure model
(Sociedade Brasileira de Econometria, 2014-11-14)
In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ...