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Previous issue date: 2016-03-31 / Aplicamos o Modelo Autoregressivo de Dura????o Condicional (ACD)
Mercado de Futuros de Taxa Interbanc??ria Brasileira. A amostra foi constru??da com base em contratos M??s antes da expira????o para replicar a curva de obriga????es de um m??s eo per??odo estudado Vai de julho de 2013 a setembro de 2015. Utilizamos M??xima Verossimilhan??a Estimativa baseada nas distribui????es de probabilidade mais populares na literatura ACD: Exponencial, gama e Weibull e verificou-se que a estimativa baseada na
A distribui????o exponencial foi a melhor op????o para modelar os dados. / We applied the basic Autoregressive Conditional Duration Model (ACD) to the
Brazilian Interbank Rate Futures Market. The sample was built using contracts in the
month prior to expiration to replicate a one month bond curve and the period studied
goes from july of 2013 to september of 2015. We used Maximum Likelihood
Estimation based on the most popular probability distributions in the ACD literature:
exponential, gamma and Weibull and we found that the estimation based on the
exponential distributional was the best option to model the data.
| Identifer | oai:union.ndltd.org:IBICT/oai:bdtd.ucb.br:tede/2008 |
| Date | 31 March 2016 |
| Creators | Assun????o, Ad??o Vone Teixeira de |
| Contributors | Carhuajulca, Jaime Jos?? Orrillo |
| Publisher | Universidade Cat??lica de Bras??lia, Programa Strictu Sensu em Economia de Empresas, UCB, Brasil, Escola de Gest??o e Neg??cios |
| Source Sets | IBICT Brazilian ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Biblioteca Digital de Teses e Dissertações da UCB, instname:Universidade Católica de Brasília, instacron:UCB |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | -1139962560771343510, 500, 500, 600, -3429419691752109715, -2504903392600098822 |
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