Listagem FGV EPGE - Ensaios Econômicos por Assunto "Processo estocástico"
Itens para a visualização no momento 1-14 of 14
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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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
Stochastic growth and monetary policy: the impacts on the term structure of interest rates
2001-04-01This paper builds a simple, empirically-verifiable rational expectations model for term structure of nominal interest rates analysis. It solves an stochastic growth model with investment costs and sticky inflation, susceptible ... -
Temporal aggregation and bandwidth selection in estimating long memory
2003-03-30This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, ... -
Testing the Markov property with ultra high frequency financial data
2001-03-01This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a ...
