Narrow search
Showing 1 - 2 of 2
Cover Image
Modelos GARCH assimétricos com inovações t-Student
Fonseca, Thaís C. O.; Cerqueira, Vinícius S.; Migon, … - 2013
In this work we consider modeling the past volatilities through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model using the Bayesian approach. Asymmetries in the shocks are accommodated by smooth transition models for the variance. We discuss problems related to the...
Persistent link: https://www.econbiz.de/10010330802
Cover Image
Avaliação de Estratégias de Investimento com Opções
Fernandes, Ana Cristina; Machado-Santos, Carlos - Faculdade de Economia, Universidade do Porto - 2001
methodology of Leland on six dynamic hedging strategies with options on the Index FTSE 100 in the sense of evaluating its … theoretically expected), denouncing that the market price of these options appears to be in equilibrium. …
Persistent link: https://www.econbiz.de/10005059486