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Yolanda Stander,Daniël Marais,Ilse Botha
AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop...
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Samih Antoine Azar
Pág. 723 - 733
This paper analyses the statistical behavior of the US dollar, against nine different currencies, over the float period, with a monthly data set. The martingale hypothesis is rejected for all currencies. However, all currencies have a unit root. There is...
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Luiz de Magalhães Ozorio,Carlos de Lamare Bastian-Pinto,Tara Nanda Baidya,Luiz Eduardo Teixeira Brandão
Pág. 215 - 241
Steel is a commodity with significant price volatility and the choice of stochastic process that better describes its price performance is a fundamental issue in real options valuation in steel industry projects. As verified with other commodities, it is...
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Carlos L. Bastian-Pinto,Luiz E. T. Brandão
Pág. pp. 97 - 124
Commodity prices are generally better modeled by a long-term Mean Reverting Process, than by a Geometric Brownian Motion stochastic diffusion process, which is more generally used to value real options, since it is simpler to use. In this article we mode...
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Lee, Hsiu-Yun; Wu, Jyh-Lin
Pág. 477 - 488
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