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Contagion of US Subprime Mortgage Crisis to Colombian Economy : Measured by Financial Market Data
Nguyen, Chu V. - 2017
English Abstract: The long-horizon event study methodology is used to document the severe impact of the US subprime mortgage crisis on the Colombian economy. The estimated parameter of a constant mean return model is used to derive the “abnormal return” on the market portfolios of Colombia...
Persistent link: https://www.econbiz.de/10012949082
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Predicting monetary policy using federal funds futures prices
Söderström, Ulf - Economics Institute for Research (SIR), … - 1999
In theory, prices of current-month federal funds futures contracts should reflect market expectations of near-term movements in the Federal Reserve's target level for the federal funds rate. However, empirical results show that such measures of market expectations are too noisy to predict...
Persistent link: https://www.econbiz.de/10005649170
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Avaliação de ativos de baixa volatilidade no mercado brasileiro : menor risco com maiores retornos (Low Volatility Asset Valuation in Brazilian Stock Market: Lower Risk With Higher...
Boudjoukian França, Luciano - 2020
volatility to investigate the low volatility anomaly. Between January 2003 and June 2017, the low volatility portfolio presented … a 15.5% annual return above the high volatility portfolio, with statistical significance in alpha as in the Sharpe Index … process, it was possible to obtain portfolios with higher returns and lower risk than those ordered by a single risk factor …
Persistent link: https://www.econbiz.de/10012846744
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Cultura Financeira dos Investidores e Diversificação das Carteiras
Mendes, Victor; Abreu, Margarida - ISEG - School of Economics and Management, Department … - 2006
degree, specific financial culture, and information sources are relevant variables for the explanation of individual …
Persistent link: https://www.econbiz.de/10005463731
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Medidas regulatórias, volatilidade e contágio: Um estudo dos casos da energia elétrica e das telecomunicações no Brasil
de Bragança, Gabriel G. Fiuza; Pessoa, Marcelo de Sales; … - 2015
This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom … authorities in 2012 on the market volatility of both sectors and their covariance. We also adopt the volatility impulse response …
Persistent link: https://www.econbiz.de/10011372325
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Medidas regulatórias, volatilidade e contágio : um estudo dos casos da energia elétrica e das telecomunicações no Brasil
Bragança, Gabriel Godofredo Fiuza de; Pessoa, Marcelo … - 2015
This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom … authorities in 2012 on the market volatility of both sectors and their covariance. We also adopt the volatility impulse response …
Persistent link: https://www.econbiz.de/10011338737
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Processo de Meixner : teoria e aplicações no mercado financeiro brasileiro
Barbachan, José Santiago Fajardo; Coutinho, Felipe … - In: Estudos econômicos : publicação trimestral do … 41 (2011) 2, pp. 383-408
Persistent link: https://www.econbiz.de/10009308942
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Apreçamento de opçoes de IDI usando distribuiçoes hiperbólicas generalizadas
Barbachan, José Santiago Fajardo; Ornelas, José … - In: Economia aplicada : EA 7 (2003) 4, pp. 767-794
Persistent link: https://www.econbiz.de/10002080861
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Sobre uma nova teoria de precificação de opções e outros derivativos
Cassettari, Ailton - In: Revista brasileira de economia : RBE ; revista da … 55 (2001) 3, pp. 427-449
Persistent link: https://www.econbiz.de/10001609602
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Precificação de opções de commodities agropecuárias no Brasil : o caso do café arábica
Rodrigues DaSilva Leite, Dalton; Martines Filho, João Gomes - In: Economia aplicada : EA 5 (2001) 1, pp. 55-97 : graph. Darst
Persistent link: https://www.econbiz.de/10001573810