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Essays in financial econometrics
Essays in financial econometrics
Material Type:
Ph.D. Dissertation 		Add to e-Shelf

Essays in financial econometrics

Chaim, Pedro Luiz Paolino

Biblioteca Digital de Teses e Dissertações da USP; Universidade de São Paulo; Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto 2019-08-12

Online access. The library also has physical copies.

2
Modelagem e previsão do valor em risco com modelos de volatilidade baseada em variação: evidências empíricas; Value-at-risk modeling and forecasting with range-based volatility models: empirical evidence
Modelagem e previsão do valor em risco com modelos de volatilidade baseada em variação: evidências empíricas; Value-at-risk modeling and forecasting with range-based volatility models: empirical evidence
Material Type:
Article 		Add to e-Shelf

Modelagem e previsão do valor em risco com modelos de volatilidade baseada em variação: evidências empíricas; Value-at-risk modeling and forecasting with range-based volatility models: empirical evidence

Maciel, Leandro Dos Santos; Ballini, Rosangela

Revista Contabilidade & Finanças; v. 28 n. 75 (2017); 361-376

Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade 2017-12-01

Online access

3
Is it worth tracking dollar/real implied volatility?
Is it worth tracking dollar/real implied volatility?
Material Type:
Article 		Add to e-Shelf

Is it worth tracking dollar/real implied volatility?

Andrade, Sandro Canesso De; Tabak, Benjamin Miranda

Economia Aplicada; Vol. 5 Núm. 3 (2001); 471-489

Universidade de São Paulo, FEA-RP/USP 2001-06-20

Online access

4
Combinação de projeções de volatilidade baseadas em medidas de risco para dados em alta frequência
Combinação de projeções de volatilidade baseadas em medidas de risco para dados em alta frequência
Material Type:
Ph.D. Dissertation 		Add to e-Shelf

Combinação de projeções de volatilidade baseadas em medidas de risco para dados em alta frequência

Araújo, Alcides Carlos De

Biblioteca Digital de Teses e Dissertações da USP; Universidade de São Paulo; Faculdade de Economia, Administração e Contabilidade 2016-04-29

Online access. The library also has physical copies.

5
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Material Type:
Article 		Add to e-Shelf

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Busch, Thomas ; Christensen, Bent Jesper ; Nielsen, Morten Ørregaard

Journal of econometrics, 2011, Vol.160 (1), p.48-57 [Peer Reviewed Journal]

Amsterdam: Elsevier B.V

Full text available

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6
Threshold bipower variation and the impact of jumps on volatility forecasting
Threshold bipower variation and the impact of jumps on volatility forecasting
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Article 		Add to e-Shelf

Threshold bipower variation and the impact of jumps on volatility forecasting

Corsi, Fulvio ; Pirino, Davide ; Renò, Roberto

Econometrics, 2010-12, Vol.159 (2), p.276-288 [Peer Reviewed Journal]

Amsterdam: Elsevier B.V

Full text available

Citations Cited by
7
Realized volatility forecasting and market microstructure noise
Realized volatility forecasting and market microstructure noise
Material Type:
Article 		Add to e-Shelf

Realized volatility forecasting and market microstructure noise

Andersen, Torben G. ; Bollerslev, Tim ; Meddahi, Nour

Journal of econometrics, 2011, Vol.160 (1), p.220-234 [Peer Reviewed Journal]

Amsterdam: Elsevier B.V

Full text available

Citations Cited by
8
Forecasting volatility of wind power production
Forecasting volatility of wind power production
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Article 		Add to e-Shelf

Forecasting volatility of wind power production

Shen, Zhiwei ; Ritter, Matthias

Applied energy, 2016-08, Vol.176, p.295-308 [Peer Reviewed Journal]

Elsevier Ltd

Full text available

Citations Cited by
9
Forecasting crude oil market volatility: Further evidence using GARCH-class models
Forecasting crude oil market volatility: Further evidence using GARCH-class models
Material Type:
Article 		Add to e-Shelf

Forecasting crude oil market volatility: Further evidence using GARCH-class models

Wei, Yu ; Wang, Yudong ; Huang, Dengshi

Energy economics, 2010-11, Vol.32 (6), p.1477-1484 [Peer Reviewed Journal]

Amsterdam: Elsevier B.V

Full text available

Citations Cited by
10
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Material Type:
Article 		Add to e-Shelf

Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martens, Martin ; van Dijk, Dick ; de Pooter, Michiel

International journal of forecasting, 2009-04, Vol.25 (2), p.282-303 [Peer Reviewed Journal]

Amsterdam: Elsevier B.V

Full text available

Citations Cited by
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