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Vinicius Girardi da Silveira,Kelmara Mendes Vieira,Marcelo Brutti Righi
Pág. 157 - 177
This study aimed to employ the Times Series Factor Analysis (TSFA) to measure liquidity in stock markets. Based on this model, was used daily data of stocks traded on BM&FBOVESPA of five liquidity proxies for exemplifying the factorial construction. How ...
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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...
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Marcelo Brutti Righi,Paulo Sergio Ceretta
Pág. 411?464
A fundamental aspect of proper risk management is the measurement, especially forecasting of risk measures. Measures such as variance, volatility and Value at Risk had been considered valid because of their practical intuition. However, a solid theoretic...
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