Listagem FGV EPGE - Escola Brasileira de Economia e Finanças por Assunto "Modelos econométricos"
Itens para a visualização no momento 61-70 of 70
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A systematic component of the jump-risk premium in an AJD model
2015-04-07We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite ... -
The systemic risk of energy markets
2012-08Apresentação do palestrante Diane Pierret - Université Catholique de Louvain no contexto do evento "The Economics and Econometrics of Commodity Prices". Mais informações em: <http://epge.fgv.br/conferencias/commodity-pri ... -
Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?
2009-02-15Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, ... -
Theory of storage and metals forward curves dynamics
2012-08Apresentação do palestrante Hélyette Geman - Commodity Finance Centre, University of London and ESCP Europe no contexto do evento "The Economics and Econometrics of Commodity Prices". Mais informações em: <http://epge.fg ... -
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 ... -
Três ensaios em economia aplicada
2015-02-27A tese é constituída por três artigos: 'Regulação Ótima de Pescarias com Imperfeito Enforcement dos Direitos de Propriedade', 'Estimação de um Modelo Generalizado de Pesca' e 'Fatores Condicionantes da Reincidência Criminal ... -
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 ... -
Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data
2002Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ... -
Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
2003-06-30Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ... -
The welfare cost of macroeconomic uncertainty in the post-war period
2006-09-01With standard assumptions on preferences and a fully-fledged econometric model we computed the welfare costs of macroeconomic uncertainty for post-war U.S. using the BeveridgeNelson decomposition. Welfare costs are about ...
