• JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
 
  Bookmark and Share
 
 
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
 
WARNING - Viewing this document is conditioned on your acceptance of the following terms of use:
This document is only for private use for research and teaching activities. Reproduction for commercial use is forbidden. This rights cover the whole data about this document as well as its contents. Any uses or copies of this document in whole or in part must include the author's name.
Publishing Date
2021-07-29
 
WARNING: Learn what derived works are clicking here.
All rights of the thesis/dissertation are from the authors
CeTI-SC/STI
Digital Library of Theses and Dissertations of USP. Copyright © 2001-2024. All rights reserved.