Navegação Ciências Sociais Aplicadas por Assunto "Volatility"

Resultados 1-2 de 2

    • A GARCH tutorial with R 

      Perlin, Marcelo Scherer; Mastella, Mauro; Vancin, Daniel Francisco; Ramos, Henrique Pinto (2021) [Artigo de periódico]
      Context: modeling volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: in this tutorial paper, we will address the topic of volatility modeling in R. ...

    • Testing nonlinearities between Brazilian exchange rate and inflation volatilities 

      Albuquerque, Christiane Rocha; Portugal, Marcelo Savino (2006) [Artigo de periódico]
      There are few studies, directly addressing exchange rate and inflation volatilities, and lack of consensus among them. However, this kind of study is necessary, especially under an inflation-targeting system where the ...