O objetivo deste trabalho é comparar diferentes formas de estimação de modelos de apreçamento de ativos. Além dos métodos tradicionais, que utilizam toda a amostra no processo de estimação dos parâmetros do modelo, será utilizado o método rolling, que estima os parâmetros através da utilização de janelas móveis de tamanho fixo. Com isso, utilizando a técnica de backtesting, procura-se averiguar se o método rolling proporciona um ganho na qualidade de ajuste em modelos de apreçamento de ativos. / The aim of this project is to compare methods of estimating asset pricing models. In addition to using traditional methods, which estimate the models parameters by using the entire sample at once, the rolling method will be used. This method estimates the models parameters by using a rolling window of fixed size through the sample. By using backtesting, we seek to investigate whether the rolling approach provides an improvement in the goodness of fit in asset pricing models.

In this study, a novel incremental ring rolling process used in production of rings with various cross sections is examined. A basic type of this process is investigated numerically, using commercial finite element programs / MSC Superform, MSC Marc. The user defined subroutines are also utilized for flexibility in modeling. The aim of modeling is to determine the material flow for geometrical analysis, strain/stress distribution for tool force analysis and residual stresses, in a cost effective way. The process has instabilities and requires large number of incremental stages to complete a full finite element simulation. The full models are reliable but costly hence the numerical studies are focused on reliable simplified models with lower computation time. Different approaches are developed: three-dimensional segment model, improved segment model, velocity coupling model. The results of these models are compared with experimentally verified full models. Numerical parameters such as mesh type, step size, convergence ratio are examined. After verification of the model different applications to of the process is developed and physical parameters affecting the process are discussed / such as the tool path .

O objetivo deste trabalho é comparar diferentes formas de estimação de modelos de apreçamento de ativos. Além dos métodos tradicionais, que utilizam toda a amostra no processo de estimação dos parâmetros do modelo, será utilizado o método rolling, que estima os parâmetros através da utilização de janelas móveis de tamanho fixo. Com isso, utilizando a técnica de backtesting, procura-se averiguar se o método rolling proporciona um ganho na qualidade de ajuste em modelos de apreçamento de ativos. / The aim of this project is to compare methods of estimating asset pricing models. In addition to using traditional methods, which estimate the models parameters by using the entire sample at once, the rolling method will be used. This method estimates the models parameters by using a rolling window of fixed size through the sample. By using backtesting, we seek to investigate whether the rolling approach provides an improvement in the goodness of fit in asset pricing models.