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Rama Krishna Yelamanchili
Pág. 109 - 114
This paper aims to study predictive ability of consumer sentiment of individual stocks. We consider two proxies for sentiment. One is explicit (Index of Consumer Sentiment, ICS), second is implicit (Broad Market Indicator, S&PBSE500) and we pick 50 stock...
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Rafael Machado Santana,Rodrigo De Losso da Silveira Bueno
Pág. 235 - 265
This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The ?rst is a markov switching model on the conditional variance ? SWARCH (Hamilton,...
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João Gabe,Marcelo Savino Portugal
Pág. pp. 47 - 73
The main goal this article was to find the best way of making forecast about future volatility using implicit or statistic forecast. The work is based on Telemar S.A. shares data from 21/09/1998 to 21/10/2002 and Telemar S.A. shares data from 2/10/2000 t...
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