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Relação entre retorno contínuo, retorno anormal e métricas de desempenho contábil: um estudo das empresas listadas na B3 no período de 2011 a 2018
(Universidade Federal do Rio Grande do NorteBrasilUFRNCiências Contábeis, 2019-06-11)
The present study aims to investigate the relationship between the economic and financial performance of the companies (measured from accounting metrics) and the return of the market (measured from the continuous and ...
Effects of the 2008 crisis on the volatility of returns on bank stocks in Brazil
(Global Research Society, 2017)
Modelos estocásticos com heterocedasticidade: Uma abordagem Bayesiana para os retornos do Ibovespa
(2013-04-25)
Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student's t distributions for the conditional distribution of the return series. A non-informative ...
Microscopic origin of non-Gaussian distributions of financial returns
(ELSEVIER SCIENCE BV, 2008)
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random ...
Microscopic origin of non-Gaussian distributions of financial returns
(Elsevier B.V., 2008-03-01)
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random ...
Microscopic origin of non-Gaussian distributions of financial returns
(Elsevier B.V., 2008-03-01)
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random ...
World betas, consumption growth, and financial integration
(ELSEVIER SCI LTD, 2011)
We define a country's beta as the covariance of domestic consumption growth with world consumption growth scaled by the world's variance. Beta is related to a country's risk-taking position in models of international ...
Forecasting stock return using a recurrent neural network apply to a financial optimization problem
(Universidad EAFITMaestría en Ciencias de los Datos y AnalíticaEscuela de AdministraciónMedellín, 2021)
This paper presents a methodological proposal for optimizing financial asset portfolios by incorporating the returns predictions instead of the historical returns to calculate an efficient frontier. We changed the return ...