2   Artículos

 
en línea
Pedro Luiz Valls Pereira,Ricardo Pires de Souza Santos     Pág. 335 - 363
This article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis ... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

 
en línea
Beatriz Vaz de Melo Mendes     Pág. pp. 251 - 265
It is now widespread the use of Value-at-Risk (VaR) as a canonical measure at risk. Most accurate VaR measures make use of some volatility model such as GARCH-type models. However, the pattern of volatility dynamic of a portfolio follows from the (univar... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

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