Browsing by Subject "Séries financeiras"
Now showing items 1-2 of 2
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Análise de séries temporais multivariadas via Wavelet
(Universidade Federal de São Carlos, UFSCar, , Câmpus São Carlos, 24/08/2023)After the mid-1980s, wavelet theory quickly spread to many fields. Although wavelet analysis has the ability to decompose data into various time scales and to deal with nonstationary data and time location, this methodology ... -
Inferência Bayesiana em modelos de volatilidade estocástica na média utilizando o método de Monte Carlo Hamiltoniano em variedade Riemanniana
(Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 21/02/2024)This paper considers the stochastic volatility in mean model, where the conditional distribution of the data belongs to the mixed-scale normal family for modeling financial time series. This model class is more robust in ...