Arch Garch Models
Mostrando 13-14 de 14 artigos, teses e dissertações.
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13. Brazilian market reaction to equity issue announcements
We have carried out an event study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. Our results are remark
BAR - Brazilian Administration Review. Publicado em: 2005-12
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14. BAYESIAN INFERENCE ON MULTIVARIATE ARCH MODELS / MODELAGEM BAYESIANA MCMC PARA UM PROCESSO ARCH MULTIVARIADO / MODELOS BAYESIANOS MCMC PARA UN PROCESO ARCH MULTIVARIADO
The objective of this work is to develop Metropolis-Hasting for strategy Bayesian Inference, based on a Multivariate ARCH model with BEKK representation. In complex problems, such as the multivariate generalization of ARCH/GARCH structures, the inference process in complicated, due to the large number of parameters involved and to the restrictions they must
Publicado em: 2001