Browsing Produção Intelectual em Bases Externas by Subject "Análise estocástica"

Now showing items 1-3 of 3

    • Climate change and electricity demand in Brazil: a stochastic approach 

      Trotter, Ian M.; Bolkesjo, Torjus Folsland; Feres, José Gustavo; Hollanda, Lavinia
      2016-05-01
      We present a framework for incorporating weather uncertainty into electricity demand forecasting when weather patterns cannot be assumed to be stable, such as in climate change scenarios. This is done by first calibrating ...

    • Identifying volatility risk premia from fixed income Asian options 

      Almeida, Caio Ibsen Rodrigues de; Vicente, Jose
      2009-04
      Fixed income options are frequently adopted by companies to hedge interest rate risk. Their payoff dependence on the cumulative short-term rate makes them particularly informative about interest rate volatility risk. Based ...

    • SAMBA: stochastic analytical model with a Bayesian approach 

      Castro, Marcos R. de; Gouvea, Solange N.; Minella, André; Santos, Rafael C.; Souza Sobrinho, Nelson Ferreira
      2015-03-03
      We develop and estimate a DSGE model for the Brazilian economy as part of the macroe-conomic modeling framework of the Central Bank of Brazil. The model combines the building blocks of standard DSGE models (e.g., price and ...