Listagem Produção Intelectual em Bases Externas por Assunto "Análise de séries temporais"
Itens para a visualização no momento 1-7 of 7
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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 ... -
Comparing value-at-risk methodologies
2007-05-01In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that ... -
Estimating and forecasting the volatility of Brazilian finance series using arch models
1999-05-01The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian financial series using models of the ARCH class. Selected models are then compared regarding ... -
The finite-sample size of the BDS test for GARCH standardized residuals
2012-04-25This paper uses a multivariate response surface methodology to analyze the size distortion of the BDS test when applied to standardized residuals of rst-order GARCH processes. The results show that the asymptotic standard ... -
Omitted asymmetric persistence and conditional heteroskedasticity
2006We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence ... -
Proposta de um método empírico de ajuste de séries temporais influenciadas pelos ofensores calendário e temperatura
2016-12-01In Brazil, the behavior of electrical load, particularly in energy consumption, has been widely investigated over the past years. In general, this interest is due to the great financial and social importance of this input, ... -
ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
2016We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. The adaLASSO is a one-step implementation of the family of folded concave penalized least-squares. ...
