Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Processo estocástico"
Now showing items 1-20 of 26
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Applications of nonlinear stochastic discount factors in performance analysis and tail risk
2018-04-12We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions ... -
Avaliação de Projetos de Investimento com Opções Reais: Cálculo de Valor de Opção de Espera de uma Unidade Separadora de Propeno
2008-09-24The main subject of the present work is the evaluation of a real option to defer an investment on a Propylene Unit, in comparison to a static analysis of Net Present Value. So, we exposed the real options theory, the ... -
Convex combinations of long memory estimates from different sampling rates
2003-07-02Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of ... -
Empirical evidence on real convergence across brazilian states
2006-06-12This paper examines the real convergence hypothesis across Brazilian states. In order to test for the existence of income convergence the or- der of integration of real Gross State Product (GSP) per capita series is examined ... -
Ensaios em Finanças
2013-10-11Esta tese é composta de três artigos sobre finanças. O primeiro tem o título 'Nonparametric Option Pricing with Generalized Entropic Estimators ' e estuda um método de apreçamento de derivativos em mercados incompletos. ... -
Estimação do fator estocástico de desconto com um grande cross-section
2018-04-20A despeito da elegância teórica do fator estocástico de desconto, sua especificação empírica é demasiado ampla. Utilizando fatores construídos como excessos de retornos que usufruem das propriedades de componentes principais, ... -
Estimating the stochastic discount factor without a utility function
2005-03-14Using 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 serial-correlation ìcommon featureîin ... -
Um estudo do processo estocástico de preços de commodities e seus determinantes
2008-05-23São dois os objetivos deste trabalho. O primeiro é apresentar o resultado da aplicação de dois modelo de preços de commodities (Reversão à média e Short-Term Variations / Long-Term Dynamics) a série de preços de três metais ... -
A family of autoregressive conditional duration models
2003-10-05This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional ... -
A family of autoregressive conditional duration models
2002-03-18This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional ... -
Introdução a integração estocástica
1994-06 -
Introdução à integração estocástica (Revisado em Julho de 1999)
1999-08-01A integração estocástica é a ferramenta básica para o estudo do apreçamento de ativos derivados1 nos modelos de finanças de tempo contínuo. A fórmula de Black e Scholes é o exemplo mais conhecido. Os movimentos de preços ... -
Modelos dinâmicos e simulação estocástica
1996-09-05This paper presents new methodology for making Bayesian inference about dy~ o!s for exponential famiIy observations. The approach is simulation-based _~t> use of ~vlarkov chain Monte Carlo techniques. A yletropolis-Hastings ... -
Nonparametric entropy-based tests of independence between stochastic processes
2001-03-01This paper develops nonparametric tests of independence between two stationary stochastic processes. The testing strategy boils down to gauging the closeness between the joint and the product of the marginal stationary ... -
Nonparametric stochastic discount factor decomposition and pricing of long-term derivative securities
2012-12Trabalho apresentado por Timothy Christensen - Yale University no contexto do evento "Asset Pricing and Portfolio Allocation in the Long Run". Mais informações em: http://epge.fgv.br/conferencias/longrun/index.php -
Normality under uncertainty
2003-09-30Consider the demand for a good whose consumption be chosen prior to the resolution of uncertainty regarding income. How do changes in the distribution of income affect the demand for this good? In this paper we show that ... -
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems
1998-08-01This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator ... -
Option pricing under multiscale stochastic volatility
2015The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ... -
Processus stochastiques en finance (1ère partie)
1996-11Ce document est un texte didactique destiné aux étudiants et aux chercheurs en économétrie et en finance. 11 est basé sur l'expérience des auteurs en cours de maitrise et troisieme cycle dans les deux côtés de I' Atlantique: ... -
Processus stochastiques en finance (2ème partie)
1996-11Ce document est un texte didactique destiné aux étudiants et aux chercheurs en économétrie et en finance. Il est basé sur l'expérience des auteurs en cours de troisieme cycle à l'ULB, Bruxelles et à la FGVIEPGE, Rio. Il ...
