Multivariate Garch
Mostrando 13-16 de 16 artigos, teses e dissertações.
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13. 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
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14. DISTRIBUTIONS OF RETURNS, VOLATILITIES AND CORRELATIONS IN THE BRAZILIAN STOCK MARKET / DISTRIBUIÇÕES DE RETORNOS, VOLATILIDADES E CORRELAÇÕES NO MERCADO ACIONÁRIO BRASILEIRO
The normality assumption is commonly used in the risk management area to describe the distributions of returns standardized by volatilities. However, using five of the most actively traded stocks in Bovespa, this paper shows that this assumption is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when we use the informat
Publicado em: 2004
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15. Essays on efficiency, cointegration, common factors, nonlinearities in the variance in the financial markets: A study about interest rate term structure and the volatility of sovereign bonds. / Ensaios sobre eficiência, cointegração, componentes comuns, não linearidades na variância nos mercados financeiros: um estudo da estrutura a termo das taxas de juros e da volatilidade de títulos da dívida soberana.
The thesis is composed by two empirical studies. In the first its analyzed the proprieties of the interest rate term structure and, in particular, its investigated whether or not the expectation hypothesis is a good description of Brazilian and American data. The results are better for American data. In the second study its investigated the sovereign d
Publicado em: 2004
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16. 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