Navegação Economia por Assunto "Volatility forecasting"
Resultados 1-3 de 3
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Assessing the contribution of garch-type models with realized measures to BM&FBovespa stocks allocation
(2018) [Dissertação]In this work we perform an extensive backtesting study targeting as a main goal to assess the performance of global minimum variance (GMV) portfolios built on volatility forecasting models that make use of high frequency ... -
Realized semicovariances : empirical applications to volatility forecasting and portfolio optimization
(2021) [Dissertação]This is an empirical study split in two parts aimed to explain and forecast realized portfolio volatility and perform portfolio optimization in the Brazilian financial market using realized semicovariances that use ... -
Tail risk forecasting with gas models
(2018) [Dissertação]Este artigo compara previsões de Value-at-Risk (VaR) e Expected Shortfall (ES) obtidas atrav es do modelo GAS proposto por Creal et al. (2013) com modelos alternativos. Primeiramente e feita uma investigação dentro-da-amostra ...