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Estimação e previsão de volatilidade em períodos de crise : um estudo comparando modelos GARCH e modelos aditivos semi-paramétricos

Santos, Douglas Gomes dos; Ziegelmann, Flávio A. - In: Revista Brasileira de Finanças : RBFin 10 (2012) 1, pp. 49-70

Persistent link: https://www.econbiz.de/10009670439

Volatility forecasting via MIDAS, HAR and their combination : an empirical comparative study for IBOVESPA

Santos, Douglas Gomes dos; Ziegelmann, Flávio A. - In: Journal of forecasting 33 (2014) 4, pp. 284-299

Persistent link: https://www.econbiz.de/10010425741

Estimação de volatilidade em períodos de crise: Modelos aditivos semi-paramétricos versus modelos versus modelo Garch

Santos, Douglas Gomes dos; Ziegelmann, Flávio Augusto - Associação dos Centros de Pós-Graduação em … - 2008

Persistent link: https://www.econbiz.de/10005028574

Dynamic D-vine copula model with applications to Value-at-Risk (VaR)

Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: Journal of time series econometrics 11 (2019) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012022874

Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA

Santos, Douglas G.; Ziegelmann, Flavio A. - In: Journal of Forecasting 33 (2014) 4, pp. 284-299

Persistent link: https://www.econbiz.de/10010888739

Goodness-of-fit versus significance: A CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies 5 (2017) 4, pp. 1-21

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian...

Persistent link: https://www.econbiz.de/10011996066

Assessing Brazilian electric power transmission auctions

Silva, Washington Martins; Candido, Osvaldo - In: Journal of Economic Studies 47 (2020) 1, pp. 182-199

Purpose: This paper aims to assess all the Brazilian electric power transmission line auctions occurred between 1999 and 2017. Design/methodology/approach: A copula-based Roy/endogenous switching regression model is used. The suitability of this model is twofold: it takes into account the...

Persistent link: https://www.econbiz.de/10012186602

Accuracy of policy function approximations for strongly concave recursive problems

Maldonado, Wilfredo L.; Candido, Osvaldo; Pereira, Luis … - In: International Journal of Economic Theory 15 (2018) 3, pp. 249-267

Persistent link: https://www.econbiz.de/10012090819

Dependence analysis of ethanol, sugar, oil, BRL/USD exchange rate and BOVESPA : a vine copula approach

Resende, Anderson Gomes; Candido, Osvaldo - In: Economia aplicada : EA 19 (2015) 3, pp. 455-480

Persistent link: https://www.econbiz.de/10011561957

Regularization methods for estimating a multi-factor corporate bond pricing model : an application for Brazil

Guimarães, Paulo Roberto Fonteles; Candido, Osvaldo; … - In: Annals of financial economics 16 (2021) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012650868