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Fernando Antonio Lucena Aiube,Carlos Patrício Samanez,Larissa de Oliveira Resende,Tara Keshar Nanda Baidya
Pág. 511 - 535
We examine the ability of three different GARCH-class models, with four innovation distributions, to capture the volatility properties of natural gas futures contracts traded on the New York Mercantile Exchange. We jointly estimate the long-memory proces...
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Degson Ferreira,Tara Keshar Nanda Baidya
O objetivo deste trabalho foi identificar e discutir o perfil da produção científica e a evolução do tema avaliação de SI nos artigos publicados nas principais revistas nacionais e internacionais das áreas de Administração, Ciências Contábeis e Turismo c...
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Frances Fischberg Blank,Carlos Patricio Samanez,Tara Keshar Nanda Baidya,Fernando Antonio Lucena Aiube
Pág. 163 - 199
The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter....
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Marcelo Ganem,Tara Keshar Nanda Baidya
Pág. 277 - 301
The risk premium in the Brazilian term structure of interest rates is partially driven by some specific defensive behavior following past monetary decisions. Until 2008, the Brazilian Central Bank has primarily dealt with domestic and external crises by ...
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