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Master's Dissertation
DOI
https://doi.org/10.11606/D.45.1996.tde-20210729-011324
Document
Author
Full name
Flavio Augusto Ziegelmann
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 1996
Supervisor
Title in Portuguese
Modelos de variabilidade estocastica e deformacao temporal
Keywords in Portuguese
Estatística Aplicada
Processos Estocásticos (Aplicações)
Abstract in Portuguese
Estimar e prever a volatilidade de um ativo e uma tafera muito importante em mercados financeiros. Nosso objetivo neste trabalho e cobrir os modelos de variancia condicional estocastica mais utilizados e propor o conceito de deformacao temporal neste contexto. A ideia e que o mercado modifica-se com a chegada de novas informacoes, e nao com o decorrer do tempo de calendario. Nos tambem estimamos a volatilidade dos retornos do ibovespa, aplicando modelos de volatilidade estocastica sem e com deformacao temporal
Title in English
not available
Abstract in English
not available
 
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Publishing Date
2021-07-29
 
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