Browsing FGV EPGE - Seminários de Pesquisa Econômica by Title "Caracterização dos retornos e das volatilidades de ativos financeiros do mercado Brasileiro : uma abordagem baseada na volatilidade realizada"

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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 ...