Browsing Produção Intelectual em Bases Externas by Author "Ardison, Kym Marcel Martins"
Now showing items 1-5 of 5
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Uma abordagem de teoria dos jogos sobre operações de aluguel no mercado acionário brasileiro
2014-08-01In Brazil's market, the institution of interest on equity transactions provides a precedent for gains resulting from the difference between the tax rates of individuals and those of investment funds through structured ... -
Approximating risk premium on a parametric arbitrage-free term structure model
2014-11-14In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ... -
Forecasting bond yields with segmented term structure models
2018-02Inspired by the preferred habitat theory, we propose parametric interest rate models that split the term structure into segments. The proposed models are compared with successful term structure benchmarks based on out-of-sample ... -
Nonparametric tail risk, stock returns, and the macroeconomy
2016This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ... -
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
2017The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, ...
