Listagem FGV EPGE - Escola Brasileira de Economia e Finanças por Assunto "Especulação"
Itens para a visualização no momento 1-8 of 8
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Análise empírica do value-at-risk por simulação histórica com atualização de volatilidade para fundos de ações no Brasil
2010-05For more then a decade, Value-at-Risk (VaR) has bee n choosen by financial and non-financial institutions to measure and control market risk for their portfolios. Because parametric methods usually assume that daily returns ... -
Asset float and speculative bubbles
2003-12-18We model the relationship between ftoat (the tradeable shares of an asset) and stock price bubbles. Investors trade a stock that initiaUy has a limited ftoat because of insider lock-up restrictions but the tradeable shares ... -
Distorções no leilão de fechamento de ações da BMF&BOVESPA
2011-05-31The closing price of a stock is the most important reference for the fair value of the company. Given its broad use in several contracts and in situations of asymmetrical information, brokers, traders and fund managers ... -
Preferences, common knowledge and speculative trade
1990-01We study the proposition that if it is common knowledge that en allocation of assets is ex-ante pareto efficient, there is no further trade generated by new information. The key to this result is that the information ... -
Speculative attacks on debts and optimum currency area: a welfare analysis
2003-11-14Traditionally the issue of an optimum currency area is based on the theoretical underpinnings developed in the 1960s by McKinnon [13], Kenen [12] and mainly Mundell [14], who is concerned with the benefits of lowering ... -
Speculative attacks on debts, dollarization and optimum currency areas
2002-04-01The purpose of this article is to contribute to the discussion of the financial aspects of dollarization and optimum currency areas. Based on the model of self-fulfilling debt crisis developed by Cole and Kehoe [4], it is ... -
Testando a existência de Prêmio de Volatilidade em Ações Líquidas da Bovespa
2008-10The existence and the sign of the volatility premium has been causing controversies in the specialized literature. This work proposed, criticized and applied a novel methodology, aiming to test statistically the existence ... -
Volatility modelling in the forex market: an empirical evaluation
1999-10We compare three frequently used volatility modelling techniques: GARCH, Markovian switching and cumulative daily volatility models. Our primary goal is to highlight a practical and systematic way to measure the relative ...
