Browsing FGV EESP - Textos para Discussão / Working Paper Series by Subject "Análise de séries temporais"
Now showing items 1-6 of 6
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Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
2018-03Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present ... -
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
2019-06Based on a General Dynamic Factor Model with infinite-dimensional factor space, we develop a new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The performance ... -
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo
2018-03O petróleo é uma importante commodity energética, sendo insumo em diferentes atividades, possuindo efeito direto ou indireto sobre vários setores na economia. Esta commodity tem preços instáveis, resultado de choques ... -
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
2020-02General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance ... -
Técnicas econométricas para a delimitação de mercados relevantes geográficos, aplicação para a petroquímica
2003-09-01Este trabalho apresenta técnicas econométricas de análise de séries temporais que permitem testar, empiricamente, hipóteses sobre a definição da dimensão geográfica de mercados relevantes. Estas técnicas são aplicadas ao ... -
Uncertainty times for portfolio selection at financial market
2018-03The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model ...
