Volatility Modeling
Mostrando 1-12 de 13 artigos, teses e dissertações.
-
1. Modelagem de volatilidade via modelos GARCH com erros assimétricos: abordagem Bayesiana / Volatility modeling through GARCH models with asymetric errors: Bayesian approach
A modelagem da volatilidade desempenha um papel fundamental em Econometria. Nesta dissertação são estudados a generalização dos modelos autorregressivos condicionalmente heterocedásticos conhecidos como GARCH e sua principal generalização multivariada, os modelos DCC-GARCH (Dynamic Condicional Correlation GARCH). Para os erros desses modelos são con
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 12/06/2012
-
2. Application of stochastic volatility models to air pollution data of two big cities: Mexico City and São Paulo / Aplicação de modelos de volatilidade estocástica em dados de poluição do ar de duas grandes cidades: Cidade do México e São Paulo
Recent studies related to environmental has been considered in all world due to increasing levels of pollution and of natural resources destruction especially, in the last years. The largest cities in the world are the ones been mostly affected by pollution and in this work we consider the analysis of air pollution data of two important cities: Mexico City a
Publicado em: 2010
-
3. Determinação experimental de dados de pressão de vapor e de equilíbrio líquido-vapor de componentes do biodiesel através da calorimetria exploratória diferencial / Experimental determination of vapor pressure and vapor-liquid equilibrium data of components of biodiesel by differential
Biodiesel is a biodegradable, renewable fuel with lower greenhouse gas emissions. It consists of the alkyl esters of fatty acids, obtained by the transesterification of fats and oils with a short chain alcohol such as methanol or ethanol. Ethyl esters resulting from transesterification with ethanol are poorly characterized. The thermophysical properties and
Publicado em: 2010
-
4. Study of physical deacidification of the vegetable oils using model systems / Estudo da desacidificação por via fisica de oleos vegetais utilizando sistemas-modelos
The steam deacidification step must be designed in order to take into account the high difference in the volatility of undesirable compounds and the neutral oil under high temperatures and vacuum, without causing damage to nutraceutical compounds, excessive production of trans fatty acids and neutral oil loss. To improve the process conditions of this import
Publicado em: 2009
-
5. Modelando a Volatilidade de Retornos em Alta Frequência / Modeling High Frequency Return Volatility
The aim of this paper is to assess the empirical characteristics of a high-frequency return series of one of the main assets traded at the São Paulo Stock Exchange. We are interested in modeling the conditional volatility of this return series, particularly testing for the hypothesis of a long-memory process. Our findings reveal that besides long memory, th
Publicado em: 2008
-
6. A proposal of reducing farmer exposition to financial risk supported by derivatives : application to the biodiesel case / Uma proposta de redução da exposição ao risco financeiro do produtor agricola pelo uso de derivativos : aplicação ao caso do biodisel
The aim of this research was to present a model to guide the agents involved in the market to reduce the financial risk of a project in the agriculture. Due the moment favorable to the bio-combustible and of the richness of the modeling involved, the biodiesel was chosen to analyze. The biodiesel production includes a basket of vegetal oils and also animal f
Publicado em: 2007
-
7. Instrumentos de risco: aplicação no fundo de garantia por tempo de serviço: de setembro de 1995 a abril de 2005
This dissertation objects to investigate behavior of FGTS, through of the results reached with the application the differents models to estimate the volatility of Net Patrimony of FGTS.The capacity risk assessment of exposition is relation with getting volatility and its compliance a many tecnics of model, how: Value at Risk VaR, modeling of the variables in
Publicado em: 2006
-
8. Alocação de ativos com modelos de volatilidade multivariada evidências com dados brasileiros / Economic gains in modeling the volatility of portfolios of stocks Brazilian case
O objetivo deste trabalho é testar se existem ganhos econômicos significantes com o uso de modelos de volatilidade condicional multivariada no processo de alocação de ativos. Avaliamos a significância econômica de se modelar a volatilidade condicional comparando o desempenho de carteiras de investimento com várias estratégias que operam ativamente a
Publicado em: 2006
-
9. HIGH FREQUENCY DATA AND PRICE-MAKING PROCESS ANALYSIS: THE EXPONENTIAL MULTIVARIATE AUTOREGRESSIVE CONDITIONAL MODEL - EMACM / ANÁLISE DE DADOS DE ALTA FREQÜÊNCIA E DO PROCESSO DE FORMAÇÃO DE PREÇOS: O MODELO MULTIVARIADO EXPONENCIAL - EMACM
The availability of high frequency financial transaction data - price, spread, volume and duration -has contributed to the growing number of scientific articles on this topic. The first proposals were limited to pure duration models. Later, the impact of duration over instantaneous volatility was analyzed. More recently, Manganelli (2002) included volume int
Publicado em: 2006
-
10. Gerenciamento do risco de mercado baseado no Value at Risk estÃtico e dinÃmico para carteira de aÃÃes e opÃÃes negociadas na Bovespa / Actions stock market; Value at Risk (VaR)
This thesis approaches the riskâs administration of the market using Value at Risk (VaR), which became widely used technique for measuring future expected risk for both financial and non-financial institutions. The VaR measures the largest expected loss in given period of time that expected loss is depending of suppositions about the distribution of return
Publicado em: 2005
-
11. MODELOS ESTOCÁSTICOS PARA A VOLATILIDADE DO MERCADO DE AÇÕES BRASILEIRO / STOCHASTIC MODELS FOR THE BRAZILIAN STOCK MARKET VOLATILITY
The volatility of a financial time series is a key variable in the modeling of the financial markets. It controls the risk measure associated with the dynamics of price of a financial asset and also affects the rational price of derivative products. The volatility of a financial asset is a statistical quantity that describes the characteristic magnitude of p
Publicado em: 2004
-
12. Estudo da dinamica de um sistema de recompressão de vapor para a separação de uma mistura complexa de hidrocarbonetos aromaticos
The literature presents a great amount of work involving the simulation of a distillation column in the stedy state as well as in the dynamic state; however, the great majority of them deals with the column in its conventional arrangement The vapor recompression in distillation systems has raised the interest of researchers because of its importance in energ
Publicado em: 1996