Now showing items 1-8 of 8

    • Applications of nonlinear stochastic discount factors in performance analysis and tail risk 

      Ardison, Kym Marcel Martins
      2018-04-12
      We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions ...
    • Ensaios em Finanças 

      Azevedo, Rafael Moura
      2013-10-11
      Esta tese é composta de três artigos sobre finanças. O primeiro tem o título 'Nonparametric Option Pricing with Generalized Entropic Estimators ' e estuda um método de apreçamento de derivativos em mercados incompletos. ...
    • Ensaios sobre a estrutura a termo da taxa de juros 

      Glasman, Daniela Kubudi
      2013-02-25
      This thesis consists of three works that analyses the term structure of interest rates using different datasets and models. Chapter 1 proposes a parametric interest rate model that allows for segmentation and local shocks ...
    • Essays in empirical finance 

      Faria, Adriano Augusto de
      2017-03-16
      This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure ...
    • Essays in macroeconomy and dynamic term-structure models 

      Lund, Bruno Pereira
      2009-12-19
      This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model ...
    • Essays on finance and macroeconomy 

      Simonsen, Axel André
      2009-01-01
      I study the asset-pricing implications in an cnviromncnt with feedback traders and rational arbitrageurs. Feedback traders are defined as possible naive investors who buy after a raise in prices and sell after a drop in ...
    • Three essays on macro-finance: robustness and portfolio theory 

      Guimarães, Pedro Henrique Engel
      2017-07-28
      This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries ...
    • Three essays on the estimation of asset pricing models 

      Brandão, Diego Gusmão
      2016-09-23
      The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA ...