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Master's Dissertation
DOI
https://doi.org/10.11606/D.45.1998.tde-20210726-182427
Document
Author
Full name
Luiz Alberto Rabi Junior
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 1998
Supervisor
Title in Portuguese
Modelos de mudanças markovianas de regimes aplicados a séries temporais financeiras
Abstract in Portuguese
O presente trabalho investiga como os modelos de mudanças markovianas de regimes podem ser aplicados ao estudo de séries temporais financeiras. Como será mostrado, os modelos de mudanças markovianas de regimes conseguem captar características peculiares que são encontradas nas séries financeiras, intimamemte associadas à hipótese de não linearidade das séries financeiras. Estas características seriam impossíveis de serem descritas através da abordagem linear gaussiana tradicional
Title in English
not available
Abstract in English
This dissertation investigates how markovian switching-regimes models can be utilized in the study of financial time series. As it will be shown, markovian switching-regimes models has the ability to describe some features that are inherent in these series, closely related with the non-linearity hypothesis of the financial time-series. These features would be impossible to describe if the traditional linear gaussian models were utilized
 
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Publishing Date
2021-07-28
 
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