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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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Claudio Samanez Bisso,João Frois Caldeira,Carlos Patricio Samanez,Gheisa Roberta Telles Esteves
Pág. 323 - 352
This paper applies the method known as data envelopment analysis (DEA) to acess the performance of investment funds in Brazil during the period 2012-2014, evaluating a representative sample that is framed in the "Free Shares" category. The results show e...
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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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Giuliano Carroza Uzêda Iorio de Souza,Carlos Patrício Samanez
Pág. p. 503 - 521
This article presents an approach and a model to valuing discrete barrier American options. The developed model consists of an adaptation of the method of Grant, Vora and Weeks (1997), in order to allow to incorporate the barriers. The Hybrid Quasi-Monte...
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