Results 131 to 140 of about 30,945,589 (274)

MERCADOS FINANCEIROS: SISTEMA CAÓTICO OU ALEATÓRIO?

Revista de Economia Mackenzie, 2010
O presente artigo busca confrontar duas visões a respeito do comportamento dos preços dos ativos no mercado financeiro. De um lado, teremos a hipótese dos mercados eficientes ilustrada pelos modelos CAPM e Garch.
Emílio Flávio Guerra Gomes, Karlo Marques Junior   +1 more
doaj  

Bayesian estimation of returns and risk using OHLC data for Swedish stocks with a rolling Normal-Normal model and (E)GARCH volatility

In a financial environment where quantitative analysis is of large and growing significance, mathematical model based trading is becoming increasingly sought after. The project regards two portfolios consisting of Swedish large cap stocks. Expected returns are updated in a Bayesian manner, as a Normal-Normal model, while stock volatilities are ...
Andersson, Charlie, Masoliver, David
openaire   +1 more source

Solvent‐free thallium(I) tetrakis[3,5‐bis(trifluoromethyl)phenyl]borate: crystal structure, supramolecular interactions and anisotropic thermal expansion

Acta Crystallographica Section C, EarlyView.
The solvent‐free structure of the thallium(I) salt of the weakly coordinating anion tetrakis[3,5‐bis(trifluoromethyl)phenyl]borate, Tl[BC32H12F24], exhibits short Tl…F contacts and a supramolecular architecture governed by C—H…F hydrogen bonds and weak F…F and C—F…π interactions.
Johannes Stephan, Lena Schröck, E. Eja Petersen, Romy L. Ettlinger, Alexander Pöthig   +4 more
wiley   +1 more source

GARCH Option Pricing Under Skew [PDF]

This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities.
Sofiane ABOURA
core  

Contagion and Spillover Effects of the Chinese Housing Crisis on the China‐Focused ETFs Trading in the United States

Pacific Economic Review, EarlyView.
ABSTRACT This study investigates the impact of China's recent real estate crisis, stemming from Evergrande's struggles, on the return and risk profiles of US‐listed exchange traded funds (ETFs) tracking Chinese stock market indexes. Analysing 26 funds from February 2, 2018 to December 31, 2024, we first employ a VAR model to assess contagion and ...
Gerasimos Rompotis, Spyros Papathanasiou, Drosos Koutsokostas   +2 more
wiley   +1 more source

Estimando o value-at-risk (VaR) de carteiras via modelos da família Garch e simulação de Monte Carlo

Revista de Economia Mackenzie, 2013
O objetivo deste trabalho é calcular o VaR de carteiras por meio dos modelos da família Garch com erros normais e t-Student e via simulação de Monte Carlo. Foram utilizadas três carteiras compostas por ações preferenciais de cinco empresas do Ibovespa.
Lucas Lúcio Godeiro
doaj  

Measuring the time‐varying market efficiency in the prewar and wartime Japanese stock market, 1924–1943

Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.
Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley   +1 more source

ESTIMACIÓN DE LA VOLATILIDAD DE LOS FONDOS DE INVERSIÓN ABIERTOS EN BOLIVIA

Investigación & Desarrollo, 2017
En el presente documento se desarrollan conceptos y aplicaciones relacionadas con modelos de econometría financiera, el objetivo principal fue la determinación del nivel de volatilidad de los rendimientos reportados por los Fondos de Inversión Abiertos ...
Alejandro Vargas Sanchez
doaj  

Nasal Epithelial Immune Signatures Are Associated With Age‐Dependent Asthma Trajectories in Early Life

Allergy, EarlyView.
Nasal epithelial transcriptomics identified three cytokine‐associated epithelial immune programs linked to childhood asthma phenotypes. Age‐associated epithelial polarization shifted from IFN/type‐17‐associated toward type‐2‐associated programs after 3 years of age.
Constanze A. Jakwerth, Sabina Illi, Helen Charles, Madlen Oelsner, Amr A. Gabr, Ulrich M. Zissler, Anna Erb, Martin Feuerherd, Felix Drost, Maren Büttner, Benjamin Schubert, Nicole Maison, Jimmy Omony, Markus Weckmann, Ruth Grychtol, Anna‐Maria Dittrich, Svenja Foth, Chrysanthi Skevaki, Tobias Trojan, Silke van Koningsbruggen‐Rietschel, Gesine Hansen, Thomas Bahmer, Klaus F. Rabe, Folke Brinkmann, Matthias Volkmar Kopp, Ulrike Protzer, Adam M. Chaker, Bianca Schaub, Erika von Mutius, Carsten B. Schmidt‐Weber, the ALLIANCE Study Group as part of the German Center for Lung Research (DZL), Mira Bürk, Sybille Contento, Markus Ege, Kristina Gottschau, Silvia Gschwendtner, Alexander Hose, Lena Lagally, Michael Schloter, Lena Ullemeyer, Esther Zeitlmann, Mustafa Abdo, Heike Biller, Karoline I. Gaede, Clara Haug, Nikolas Jacobs, Anne‐Marie Kirsten, Inke R. König, Lea Kronziel, Gyde Nissen, Frauke Pedersen, Loana Pennerd, Isabell Ricklefs, Vera Veith, Henrik Watz, Marie Bickes, Mifflin‐Rae Calvero, David S. DeLuca, Svenja Gaedcke, Anika Habener, Christine Happle, Adan Chari Jirmo, Bin Liu, Lennart Riemann, Nicolaus Schwerk, Inga Jerrentrup, Harald Renz, Stefanie Weber, Miguel A. Alejandre Alcazar, Samira Blau, Ernst Rietschel, Jan‐Christoph Thomassen   +71 more
wiley   +1 more source

Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model [PDF]

A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Stefan Mittnik, Marc S. Paolella, Christoph Hartz   +2 more
core