Results 91 to 100 of about 45,832 (172)
Modelo de Volatilidade Estocástica com Efeitos Calendário: Um estudo empírico para as ações da Vale
Revista de Economia Mackenzie, 2011 O presente artigo objetiva estimar a volatilidade das ações preferenciais e ordinárias da Vale levando em conta a influência dos efeitos-calendário. Para tanto, foram pesquisados os preços das ações entre 2 de janeiro de 1995 e 26 de outubro de 2011. O
Lucas Lúcio Godeiro
doaj
Finance and the Business Cycle: a Kalman Filter Approach with Markov Switching [PDF]
This paper combines two popular econometric tools, the dynamic factor model and the Markov-Switching model, to consider three segments of the financial system- the stock market, debt, and money- and their contribution to US business cycles over the past ...
Jose Ricardo da Costa e Silva +1 more
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Una década de estanflación y volatilidad
, 2021 Esta dinámica se verificó entre 2012 y 2017 inclusive, abarcando un gobierno entero y la primera mitad de otro, de signos políticos opuestos. La segunda dinámica, en la que aún estamos, abarca de 2018 a la actualidad, y acumula tres años consecutivos de contracción, con una incipiente recuperación este año.
Barberis Bosch, Francisco +1 more
openaire +1 more source
Does Curvature Enhance Forecasting? [PDF]
In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rate means. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor captures a second type of ...
André Leite +3 more
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Volatilidad, correlación y dependencia
, 2016 Análisis de la volatilidad en el entorno ...
openaire +1 more source
The theory and empirics of the structural reshaping of globalization. [PDF]
J Int Bus Stud, 2020 Buckley PJ.
europepmc +1 more source
Evaluation of Default Risk for The Brazilian Banking Sector [PDF]
This paper employs new methods to measure and monitor risk in the Brazilian banking sector. We prove that the option-based risk measure is negatively sensitive to interest rates.
Benjamin M. Tabak, Marcelo Y. Takami
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Modelos de volatilidad estocástica
En el Trabajo de Fin de Grado que se presenta a continuación se estudiará la estructura del modelo de Heston. Para ello, introducimos los principales conceptos de las matemáticas financieras y del cálculo estocástico, centrándonos en la idea de volatilidad estocástica.
Oliveros Pinilla, Sofía +2 more
openaire +1 more source
Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates [PDF]
This paper examines the information content of COPOM decisions to change or to leave unchanged monetary policy by estimating the responses of the term structure to changes in the target for interest rates on COPOM meeting days.
Benjamin Miranda Tabak
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Evaluating Asset Pricing Models in a Fama-French Framework [PDF]
In this work we propose a methodology to compare different stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S.
Carlos Enrique Carrasco Gutierrez +1 more
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