Now showing items 1-2 of 2

    • Assessing the contribution of garch-type models with realized measures to BM&FBovespa stocks allocation 

      Boff, Tainan de Bacco Freitas (2018) [Dissertation]
      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 ...
    • Tail risk forecasting with gas models 

      Neto Lima, Luiz Bezerra de Oliveira (2018) [Dissertation]
      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 ...