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Doctoral Thesis
DOI
https://doi.org/10.11606/T.96.2019.tde-07102019-101557
Document
Author
Full name
Pedro Luiz Paolino Chaim
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Ribeirão Preto, 2019
Supervisor
Committee
Laurini, Marcio Poletti (President)
Caldeira, João Frois
Bertolai, Jefferson Donizeti Pereira
Ehlers, Ricardo Sandes
Gomes, Fabio Augusto Reis
Hotta, Luiz Koodi
Title in English
Essays in financial econometrics
Keywords in English
Bitcoin
Co-jumps
Cryptocurrencies
Filtration enlargement
Financial bubbles
Foreign exchange markets
Long memory
Stochastic volatility
Strict local martingales
Volatility forecasting
Abstract in English
This dissertation is composed by five self-contained papers on broad themes in financial econometrics. The first two papers are applications of stochastic volatility models with discontinuous jumps to cryptocurrencies. Third and fourth papers deal with strict local martingale theory, one is an investigation regarding the presence of price bubbles in Bitcoin and the other proposes an interpretation for observed systematic forecast errors in Brazilian foreign exchange markets. The fifth and final paper discusses the estimation of long memory stochastic volatility models using integrated nested Laplace approximations
Title in Portuguese
Ensaios em econometria financeira
Keywords in Portuguese
Alargamento de filtração
Bitcoin
Bolhas financeiras
Criptomoedas
Martingales locais estritos
Memória longa
Mercados futuros de câmbio
Predição de volatilidade
Saltos conjuntos
Abstract in Portuguese
Esta tese é composta por cinco artigos independentes com temas variados em econometria financeira. Os dois primeiro artigos são aplicações de modelos de volatilidade estocástica com saltos discontínuos para criptomoedas. Os terceiro e quarto artigos lidam com teoria de Martingales locais estritos, um investiga a presença de bolhas no preço do Bitcoin e o outro apresenta uma interpretação para sistemáticos erros de previsão observados no mercado futuro de câmbio brasileiro. O quinto e último artigo discute a estimação de modelos de volatilidade estocástica com memória longa usando aproximações de Laplace integradas aninhadas
 
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Publishing Date
2019-12-10
 
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