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Wavelet Smoothed Empirical Copula EstimatorsEstimadores Suavizados de Cópulas via Ondaletas
(Lociedade Brasileira de Finanças, 2010)
Choosing an optimal investment strategy: the role of robust pair-copulas based portfolios
(Universidade Federal do Rio de JaneiroBrasilInstituto COPPEAD de AdministraçãoUFRJ, 2019)
Copula based models for serial dependence
(Universidade Federal do Rio de JaneiroBrasilInstituto COPPEAD de AdministraçãoUFRJ, 2019)
Local Estimation of Copula Based Value-at-RiskEstimação Local de Valor em Risco Baseado em Cópulas
(Lociedade Brasileira de Finanças, 2009)
Essays on bivariate option pricing via copula and heteroscedasticity models: a classical and bayesian approach
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2019-02-15)
This dissertation is composed of two main and independents essays, but complementary. In the first one, we discuss the option price under a bayesian perspective. This essay aims to price and analyze the fair price behavior ...
Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model ApproachEvolução e Diversificação do Risco Global: uma Abordagem com Modelo Cópula-DCC-GARCH
(Lociedade Brasileira de Finanças, 2012)
An information-theoretic approach to statistical dependence: Copula information
(EPL ASSOCIATION, EUROPEAN PHYSICAL SOCIETY, 2009)
We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and dependence components, with ...