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Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2002)
Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...
Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
(Escola de Pós-Graduação em Economia da FGV, 2003-06-30)
Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...
Puf-based Mutual Multifactor Entity And Transaction Authentication For Secure Banking
(Springer Int Publishing AGCham, 2016)
Puf-based Mutual Multifactor Entity And Transaction Authentication For Secure Banking
(SPRINGER INT PUBLISHING AGCHAM, 2016)
Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)
(2015-02-27)
This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor ...
Generating covariances in multifactor CIR model
(Universidad Autónoma Metropolitana, Unidad Azcapotzalco, DCSH, Departamento de Administración, DCBI, Departamento de Sistemas., 2014-01-30)
RESUMEN: Se presenta el marco general para generar covarianzas entre instrumentos con tasas de interés libre de riesgo r(t) e instrumentos con intensidad de incumplimiento λ(t) , en el modelo Cox, Ingersoll, Ross (CIR) o ...
Forecasting of consumer demand with the use of multi-factor dynamic models
(Universidad del Zulia, 2019)
Modelo multifactor de Fama y French Argentina
(Universidad de San Andrés. Escuela de Negocios, 2019-10)