Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Análise estocástica"
Now showing items 1-6 of 6
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Análise de portfólio: uma perspectiva bayesiana
2016-06-03This work has the objective to address the problem of asset allocation (portfolio analysis) under a Bayesian perspective. For this it was necessary to review all the theoretical analysis of the classical mean-variance model ... -
Cálculo da eficiência na prestação de serviço usando o método de fronteira estocástica para a atividade de imunização e controle de pragas 2005-2008
2009-05-29The organizations lack of efficiency affects the long-term development of the whole economics. Regarding environmental health issues, greater coordination between public and private programs would increase the endemic ... -
Comovements and contagion in emergent markets: stock indexes volatilities
2001-07The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,'e country specific and eventually spreaded out across neighbor countries, with ... -
A stochastic discount factor approach to asset pricing using panel data
2006-11-01Using the Pricing Equation, in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the ìcommon ... -
A stochastic discount factor approach to asset pricing using panel data asymptotics
2011-05-27Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the 'common feature' in every asset ... -
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 ...
