Multivariate Elliptical Distribution
Mostrando 1-2 de 2 artigos, teses e dissertações.
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1. Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais usando distribuições elípticas. / Bayesian Analysis of the dynamic factorial models for a time series vector using elliptical distribuitions.
The factor analysis is an important statistical tool that has wide practical applications and it explains the correlation among a large number of observable variables in terms of a small number of unobservable variables, known as latent variables. The proposal of this work is the Bayesian analysis, which incorporates the information we have concerning the pa
Publicado em: 2008
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2. Avaliação empírica do modelo CAPM no mercado de capitais brasileiro via método dos momentos generalizados / Testing CAPM model in Brazilian Capital Market by GMM
The GMM method have been chosen in order to test non-conditional CAPM (Sharpe-Lintner and zero-beta) model in Brazilian security market, because the daily log-returns series of the analyzed shares did not showed itselves as normal and IID. This dissertation will be pioneer in testing the validity of the CAPM zero-beta model by GMM. We have realized that the
Publicado em: 2006