Listagem FGV EPGE - Seminários de Pesquisa Econômica por Assunto "Modelos econométricos"
Itens para a visualização no momento 1-8 of 8
-
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 ... -
Market clearing sealed-bid auctions for non-identical objects with single-unit demands
1999-09-09We consider a version of the cooperative buyer-seller market game of Shapley and Shubik (1972). For this market we propose a c1ass of sealed- bid auctions where objects are sold simultaneously at a market c1earing price ... -
Phase transition of demand explained by the heterogeneity of consumers' intrinsic preferences
2006-04-20In 1991 Gary S. Becker presented A Note on Restaurant Pricing and Other Examples of Social In uences on Price explaining why many successful restaurants, plays, sporting events, and other activities do not raise their ... -
Reality check for volatility models
2001-09-27Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type ... -
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 ... -
Using a panel structure to discuss the Feldstein-Horioka puzzle in developing countries
2002-06-06The purpose of this paper is to test the implications of current account solvency for the savinginvestment correlation in developing countries. Since solvency is a long-run phenomenon, and given that the power of the ...
