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Eduardo F. L. de Melo,Beatriz Vaz de Melo Mendes
Pág. 29 - 50
In this paper we propose the local maximum likelihood method for dynamically estimate copula parameters. We study the estimates statistical properties and derive the expression for their asymptotic variance in the case of Gaussian copulas. The local esti...
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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...
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Alba Regina Moretti,Beatriz Vaz de Melo Mendes
Pág. pp. 123 - 137
The modeling of the extremal dependence structure can be made through parametric models classified in two families: Logistic and Mixed, which contain the symmetric and asymmetric models. The bivariate models are very useful in practical applications on t...
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Vinicius Ratton Brandi,Beatriz Vaz de Melo Mendes
Pág. pp. 207 - 223
The investigation of the stochastic behavior of financial series has become widespread over the literature. There is empirical and theoretical evidence that the total stock price change over a long period is usually concentrated in the a few hectic runs ...
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