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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Modelando o prêmio pelo risco cambial no Brasil através de modelos GARCH-M: o mercado forward reflete a visão dos economistas?

Iuamoto, Rogério Iwao 02 February 2009 (has links)
Made available in DSpace on 2010-04-20T21:00:10Z (GMT). No. of bitstreams: 4 Rogério Iwao Iuamoto.pdf.jpg: 21733 bytes, checksum: ae70a53595d899882e7ba53ca13884a0 (MD5) Rogério Iwao Iuamoto.pdf.txt: 67544 bytes, checksum: 3e291295919739fbe2d1506ddab4a8be (MD5) Rogério Iwao Iuamoto.pdf: 304944 bytes, checksum: aef90c7ce7bd85f177dea09ced7d2fe2 (MD5) license.txt: 4886 bytes, checksum: f01ffe1ad8c15363c7d17b344d55ba8f (MD5) Previous issue date: 2009-02-02T00:00:00Z / O presente estudo demonstra que o mercado brasileiro cambial de forward reflete adequadamente a visão dos economistas – obtida junto a pesquisas de mercado realizadas periodicamente pelo Banco Central do Brasil – quando se modela o prêmio pelo risco cambial através de modelos auto-regressivos condicionais generalizados de heteroscedasticidade na Média (GARCH-M).

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