Browsing FGV EESP - Escola de Economia de São Paulo by Title "Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)"

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Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)

Toto, Stefano
2015-02-27

This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor ...