Please use this identifier to cite or link to this item:
http://repositorio.ufla.br/jspui/handle/1/36540| Title: | Modelos de volatilidade com inovações Skew-T |
| Keywords: | Séries de retornos Volatilidade Modelo GARCH Distribuição Skew-t Returns series Volatility GARCH model Skew-t distribution |
| Issue Date: | 2016 |
| Publisher: | Universidade Federal de Ouro Preto |
| Citation: | GUIMARÃES, P. H. S.; VIVANCO, M. J. F. Modelos de volatilidade com inovações Skew-T. Revista da Estatística da Universidade Federal de Ouro Preto, [S.l.], v. 5, 2016. |
| Abstract: | Uncertainty and time are the key elements that influence the behavior of economic agents, so the correct prediction of the volatility that is nothing more than a measure of dispersion of returns of an asset is fundamental to the same tracery its strategic hedging by example, as well as knowing the times of great uncertainty in the market. The financial market is essentially nonlinear which causes a multitude of business models emerging to study their behavior, such as volatility models, which emphasizes, in this work, the GARCH model with skew-t innovations, which aims to capture the asymmetry and leptocurtose of the distributions of returns series. |
| URI: | http://www.periodicos2.ufop.br/index.php/rest/article/view/695 http://repositorio.ufla.br/jspui/handle/1/36540 |
| Appears in Collections: | DES - Artigos publicados em periódicos |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.