Multivariate Conditional Volatility Models
Mostrando 1-7 de 7 artigos, teses e dissertações.
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1. O efeito contágio da crise do subprime no mercado acionário brasileiro / The contagion effect of subprime crisis on Brazilian stock market
A crescente integração e globalização das finanças, que possibilitaram o aumento da liquidez da economia internacional, foram acompanhadas por cenários instáveis gerados pelas crises financeiras. Estas crises, por sua vez, foram transmitidas, principalmente, para economias emergentes, caracterizadas pela maior fragilidade frente aos movimentos de aver
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 07/02/2012
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2. Modelos univariados e multivariados para cálculo do Valor-em-Risco de um portifólio / Multivariate and Univariate Models for Forecasting a Portfolios Value-at-Risk
The present work consists of a comparative study of several portfolio Value-at-Risk models. Univariate models, which consider only the portfolio log-returns series, are compared to multivariate models, which consider the log-returns series of each asset individually and their conditional correlations. Additionally, recently proposed models such as PS-GARCH a
Publicado em: 2010
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3. Transmission of prices and volatility in the marketing of pork / Transmissão de preços e da volatilidade na comercialização da carne suína
The pork chain, despite showing significant technical improvement and competitiveness, is still one of the most volatile sectors of Brazilian agribusiness, and marketing and price fluctuation is one of the main barriers for its development. Accordingly, the present study aimed to analyze the price ratios and volatility among production agents and major meat
Publicado em: 2009
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4. THE ECONOMIC VALUE OF CONSTANT AND DYNAMIC CONDITIONAL CORRELATION MODEL / O VALOR ECONÔMICO DOS MODELOS DE CORRELAÇÃO CONDICIONAL CONSTANTE E DINÂMICA
At Fleming, Kirby e Ostdiek (2001), evidences are found that volatility timming models, have signicant economic value when comparing with the simple unconditional variance matrix, in a framework of portfolio optimization. Going further, this work analyze if the more complex Constant (CCC) and Dynamic (DCC) Conditional Corrrelation models, suggested respectiv
Publicado em: 2007
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5. HIGH FREQUENCY DATA AND PRICE-MAKING PROCESS ANALYSIS: THE EXPONENTIAL MULTIVARIATE AUTOREGRESSIVE CONDITIONAL MODEL - EMACM / ANÁLISE DE DADOS DE ALTA FREQÜÊNCIA E DO PROCESSO DE FORMAÇÃO DE PREÇOS: O MODELO MULTIVARIADO EXPONENCIAL - EMACM
The availability of high frequency financial transaction data - price, spread, volume and duration -has contributed to the growing number of scientific articles on this topic. The first proposals were limited to pure duration models. Later, the impact of duration over instantaneous volatility was analyzed. More recently, Manganelli (2002) included volume int
Publicado em: 2006
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6. The impact of the sugar markets and American oil in the volatileness of the Brazilian sugar / O impacto dos mercados de açúcar e petróleo americano na volatilidade do açúcar brasileiro
The alcohol fuel became a real and viable alternative to the growing petroleum prices in the global economy. However the production of this kind of fuel requires a great amount of sugar cane, of which Brazil is the major world-wide producer. There are two major outcomes of sugar cane: alcohol fuel and sugar. Whereas the alcohol fuel is a clear substitute to
Publicado em: 2006
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7. Contagio em mercados financeiros emergentes / Emerging financial markets contagion
The issue of contagion has been one of the most debated in the international finance literature in the last years. Although there is no general agreement regarding the definition of contagion, it is known that this issue is related to the fact that crisis started in one country tend to propagate to other countries. Therefore, a measure used as an indication
Publicado em: 2006