STOCHASTIC VOLATILITY VIA MONTE CARLO LIKELIHOOD: A COMPARATIVE STUDY
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR === Esta dissertação discute o modelo de Volatilidade Estocástica (SV) estimado via metodologia Durbin & Koopman, chamada Verossimilhança de Monte Carlo( MCL). Comparou-se a cobertura condicional do valor em risco (VaR), deste mode...
Main Author: | RAPHAEL PIMENTEL DE OLIVEIRA CRUZ |
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Other Authors: | CRISTIANO AUGUSTO COELHO FERNANDES |
Language: | Portuguese |
Published: |
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
2004
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Online Access: | http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4920@1 http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4920@2 |
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