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en línea
Francisco Eduardo de Luna e Almeida Santos     Pág. 1 - 11
The aim of this paper is to measure the endogenous relationship between stock and bond markets. To recover the structural form of this relationship, the author applied the method of identi?cation through heteroskedasticity. Both coef?cients were found to... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

 
en línea
Márcio Gomes Pinto Garcia,Marcelo Cunha Medeiros,Francisco Eduardo de Luna e Almeida Santos     Pág. 319?349
This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate model of realized volatility. To study this issue, we build a high frequency database with the most actively traded Brazilian stocks. C... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

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