2 Art�culos

Relations Between Serial Correlation and Volatility: Is There a LeBaron Effect in Brazil?

Acceso

en l�nea

Regis Augusto Ely P�g. 13 - 39

This paper examines the relation between serial correlation and volatility of the Ibovespa index returns and extends the empirical evidence of the LeBaron effect for higher orders of serial correlation. We employ an exponential general autoregressive con... ver m�s

Revista: Revista Brasileira de Finan�as Formato: Electr�nico

Tabla de contenido: Vol: 12 Num: 1 Par: 0 A�o: 2014

Returns Predictability and Stock Market Efficiency in Brazil

Acceso

en l�nea

Regis Augusto Ely P�g. 571 - 584

This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates th... ver m�s

Revista: Revista Brasileira de Finan�as Formato: Electr�nico

Tabla de contenido: Vol: 9 Num: 4 Par: 0 A�o: 2011

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