Results 101 to 110 of about 67,641 (216)
Modelos Arch i Garch: aplicación a series financieras
, 2018 [en] In this paper we explain the theory related to the models with conditional autoregressive heterocedasticity ARCH and GARCH, which as its name indicates are based on modeling with the premise of having a conditional variability that depends on past values.
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Revista Colombiana de Estadística, 2008 Este documento presenta una nueva prueba para el parámetro de diferenciación fraccional de un modelo ARFIMA, basada en una aproximación autorregresiva de su componente a corto plazo.
ELKIN CASTAÑO +2 more
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Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume [PDF]
In this paper we investigate the possible presence of nonlinear dynamics for stock index returns and trading volume at the Chilean Stock Market. To capture any nonlinear behavior in the series we estimate Smooth Transition Autoregressive (STAR) models ...
Patricio Jaramillo, Rodrigo Aranda
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Selection of the Informative Base in ARMA-GARCH Models [PDF]
In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically
Laura Muñoz +2 more
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Promoción de raigrás anual naturalizado (Lolium multiflorum L.) en la cuenca del río Salado. Evaluación de la producción invernal de forraje en pastoreo [PDF]
, 2013 Effective operation of grazing production systems needs control the production of forage at farm level. A nine year old stand of enhanced tame native ryegrass (Lolium multiflorum L.) (RGE) and an annual crop of Italian ryegrass (Lolium multiflorum L.
Colombatto, Dario +3 more
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Definição, identificação e estimação do modelo ARCH e comparação com outros modelos de volatilidade
, 1997 Procura-se neste trabalho caracterizar os modelos mais importantes na modelização da volatilidade com especial ênfase no modelo ARCH. Concretamente, os objectivos deste trabalho são: i) apresentar os principais resultados já estabelecidos pela teoria dos modelos ARCH; ii) apresentar desenvolvimentos recentes na área dos modelos ARCH (modelo GARCH com ...
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Revista Ingenierías Universidad de Medellín, 2007 En este trabajo se consideran los rendimientos diarios de un activo financiero con el propósito de modelar y comparar la densidad de probabilidad de la volatilidad estocástica de los retornos. Para tal fin, se proponen los modelos ARCH y sus extensiones,
Carlos Alexánder Grajales Correa +1 more
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Characterizing the Brazilian Term Structure of Interest Rates [PDF]
This paper studies the Brazilian term structure of interest rates and characterizes how the term premia has changed over time. We employ a Kalman filter approach, which is extended to take into account regime switches and overlapping forecasts errors ...
Benjamin M. Tabak, Osmani T. Guillen
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Modelos Arch: un análisis de volatilidad de series temporales financieras
, 1999 El presente trabajo se enmarca dentro de la modelización de la volatilidad de series temporales financieras mediante la consideración de procesos ARCH. El objetivo está en contrastar la presencia de heterocedasticidad condicional debida a la existencia de dependencias no lineales cola serie.
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Is the Investment-Uncertainty Link Really Elusive? The Harmful Effects of Inflation Uncertainty in Brazil [PDF]
After being one the fastest growing countries in the world during the 1940-80 period, with an average growth rate of 6.8%, Brazil has experienced a severe growth slowdown since the 1980s, which coincided with the steep rise in inflation as of 1980.
Tito Nícias Teixeira da Silva Filho
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