Browsing FGV EPGE - Seminários de Pesquisa Econômica by Author "Medeiros, Marcelo C."

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Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach

Medeiros, Marcelo C.
2004-06-03

The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ...
Tree-structured smooth transition models

Medeiros, Marcelo C.
2005-11-03

The goal of this paper is to introduce a class of tree-structured models that combines aspects of regression trees and smooth transition regression models. The model is called the Smooth Transition Regression Tree (STR-Tree). ...