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Principles for modelling financial markets
(APPLIED PROBABILITY TRUST, 1996)
The paper introduces an approach focused towards the modelling of dynamics of financial markets. It is based on the three principles of market clearing, exclusion of instantaneous arbitrage and minimization of increase of ...
Price Discovery in Brazilian FX Markets
(Sociedade Brasileira de Econometria, 2015)
Arbitrage pricing theory : evidencia empírica para el mercado accionario colombiano, 2005 - 2012
(Universidad EAFITMaestría en Administración FinancieraEscuela de Economía y Finanzas, 2012)
Ross (1976) introduced an alternative to the CAPM model to explain the returns of financial assets. Ross’ Arbitrage Pricing Theory (APT) proposes a multi-factor structure in which the return of a given financial asset is ...
Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
(Universidad Torcuato Di Tella, 1998)
This paper tested an arbitrage pricing model for futures contracts on commodities with storage costs. We found that this method proves to be very accurate in describing the behaviour of futures prices for wheat at the ...
Forecasting of macro aggregates using yield curve information
(UniandesMaestría en EconomíaFacultad de Economía, 2015)
This paper obtains the forecasts of Colombian macroeconomic variables and the yield curve by jointly modeling their dynamics. For this purpose, I use unrestricted Bayesian Vector Auto Regressive (VAR) models and the ...