Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Mercado financeiro"
Now showing items 1-7 of 7
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Comovements and contagion in emergent markets: stock indexes volatilities
2001-07The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,'e country specific and eventually spreaded out across neighbor countries, with ... -
Informational spillovers in the pre-1914 London sovereign debt market
2007-06-21We document a novel type of international financial contagion whose driving force is shared financial intermediation. In the London peripheral sovereign debt market during pre-1914 period financial intermediation played a ... -
Insider trading, investment, and liquidity: a welfare analysis
1999-08-17We compare competitive equilibrium outcomes with and without trading by a privately infonned 'monopolistic' insider, in a model with real investment portfolio choices ex ante, and noise trading generated by aggregate ... -
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
2004-06-03The 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 ... -
Modelos de volatilidade estocástica com deformação temporal : com aplicação aos dados do IBOVESPA
1997-07-17Estimar e prever a volatilidade de um ativo é uma tarefa muito importante em mercados financeiros. Nosso objetivo neste trabalho é propor o conceito de deformação temporal neste contexto. A idéia é que o mercado modifica-se ... -
Time-varying covariance structures in currency markets
2000-07In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a ...
