Listagem FGV EPGE - Escola Brasileira de Economia e Finanças por Assunto "Processo estocástico"
Itens para a visualização no momento 21-26 of 26
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An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds
2016-03-21The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ... -
Spectral properties of temporally aggregated long memory processes
2003-10-23This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise ... -
Stochastic growth and monetary policy: the impacts on the term structure of interest rates
2001-04-01This paper builds a simple, empirically-verifiable rational expectations model for term structure of nominal interest rates analysis. It solves an stochastic growth model with investment costs and sticky inflation, susceptible ... -
Temporal aggregation and bandwidth selection in estimating long memory
2003-03-30This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, ... -
Testing the Markov property with ultra high frequency financial data
2001-03-01This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a ... -
Utilizando estimadores entrópicos generalizados na estimação de modelos de apreçamento de ativos
2013-12-16Este trabalho analisa as propriedades de uma nova medida de má especificação de modelos de apreçamento, que está relacionada com o tamanho do ajuste multiplicativo necessário para que o modelo seja corretamente especificado. ...
