|
|
|
|
|
Benjamin Mudiangombe Mudiangombe and John Weirstrass Muteba Mwamba
This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, P...
ver más
|
|
|
|
|
|
|
|
|
|
|
Marcelo Brutti Righi,Paulo Sergio Ceretta
Pág. 529 - 550
In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the dai...
ver más
|
|
|
|
|
|
|
|
|
|
|
Viviane Y. Naimy
The copula theory is a fundamental instrument used in modeling multivariate distributions. It defines the joint distribution via the marginal distributions together with the dependence between variables. Copulas can also model dynamic structures. This pa...
ver más
|
|
|
|
|
|
|
|
|
|
|
Edson Bastos e Santos,Nelson Ithiro Tanaka
Pág. 69 - 111
This article presents an alternative to modeling multidimensional options, where the payoffs depend on the paths of the trajectories of the underlying-asset prices. The proposed technique considers Lévy processes, a very ample class of stochastic process...
ver más
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
|
|