Listagem por autor "Veiga, Alvaro"
Itens para a visualização no momento 1-4 of 4
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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
2016-08-08In this article, we propose a class of logarithmic autoregressive conditional duration (ACD)-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and asymmetries in financial durations. ... -
A (semi-)parametric functional coefficient autoregressive conditional duration model
2013-12-09In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient ... -
Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data
2002Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ... -
Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
2003-06-30Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...
