Stocks Return Forecast
Mostrando 1-5 de 5 artigos, teses e dissertações.
-
1. A ESTABILIDADE DOS COEFICIENTES BETAS (B): A APLICABILIDADE DOS BETAS HISTÓRICOS NA AVALIAÇÃO DE AÇÕES NO MERCADO BRASILEIRO / BETA (B) STABILITY: THE APPLICABILITY OF HISTORICAL BETAS TO ASSET PRICING IN THE BRAZILIAN STOCK MARKET
The model known as capital asset pricing model - CAPM defines the beta parameter as the constant that measures the expected return variation of an asset in relation to the equity premium. Parameter beta stability is crucial to apply the use of historical data in the pricing of assets and assessing the cost of capital of companies. This dissertation assessed
Publicado em: 2009
-
2. MEAN AND REALIZED VOLATILITY SMOOTH TRANSITION MODELS APPLIED TO RETURN FORECASTING AND AUTOMATIC TRADING / MODELOS DE TRANSIÇÃO SUAVE PARA MÉDIA E VOLATILIDADE REALIZADA APLICADOS À PREVISÃO DE RETORNOS E NEGOCIAÇÃO AUTOMÁTICA
The main goal of this dissertation is to compare the performance of linear and nonlinear models to forecast 23 assets of the American Stocks Market. The Heteroscedastic STAR-Tree Model is proposed using the STAR- Tree (Smooth Transition AutoRegression Tree) methodology applied to heteroscedastic time series. As assets returns and realized volatility intraday
Publicado em: 2008
-
3. O uso de redes neurais artificiais na previsÃo de tendÃncias no mercado de aÃÃes
Stock markets are considered a high return investment option, dominated by uncertainty and volatility. The forecast of the movement of that market is a difficult task, because is influenced by many economical, political and even psychological factors. The traditional statistical methods and the known analysis (technical and fundamental) are not capable to id
Publicado em: 2006
-
4. ESTUDO COMPARATIVO DA CAPACIDADE PREDITIVA DE MODELOS DE ESTIMAÇÃO DE VOLATILIDADE / A COMPARATIVE STUDY OF THE FORECAST CAPABILITY OF VOLATILITY MODELS
The risk concept is defined as the distribution of the unexpected results from variations in the values of the variables that describe the market. However, the variable risk is not observable and its measurement depends on which model is used in its evaluation. Thus, the application of different models could result in significant different risk forecasts.The
Publicado em: 2001
-
5. UTILIZAÇÃO DO MODELO MULTI-FATORIAL DA CONSULTORIA BARRA NA PREVISÃO DE RETORNO DE AÇÕES / USE OF MULTI-FATORIAL MODEL OF BARRA TO FORECAST STOCK RETURNS
The main objective of this work is to estimate stocks return forecasts using the BARRA multiple factor model developed for the brazilian market. Three methodologies were applied to estimate the projection of the factors return. The first on is based on a moving average approach and the other two are based on regressions of the factors return against unexpect
Publicado em: 2000