Browsing by Author "Rotta, Pedro Nielsen"
Now showing items 1-3 of 3
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Analysis of contagion from the constant conditional correlation model with Markov regime switching
2013-12-06Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to ... -
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
2016Over the last decades, the transmissions of international financial events have been the subject of many academic studies focused on multivariate volatility models. This study evaluates the financial contagion between stock ... -
Análise de contágio a partir do modelo de correlação condicional constante com mudança de regime Markoviana
2012-12-18Nas últimas décadas, a análise dos padrões de propagação internacional de eventos financeiros se tornou o tema de grande parte dos estudos acadêmicos focados em modelos de volatilidade multivariados. Diante deste contexto, ...
