Browsing Teses e dissertações by Subject "Volatilidade"

Now showing items 1-2 of 2

    • Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH 

      Xavier, Cleber Martins (Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 26/04/2019)
      One of the most important informations in financial market is variability of an asset. Several models have been proposed in literature with a view of to evaluate this phenomenon. Among them we have the GARCH models. This ...

    • Modelagem da volatilidade em séries temporais financeiras via modelos GARCH com abordagem bayesiana 

      Aquino Gutierrez, Karen Fiorella (Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 18/07/2017)
      In the last decades volatility has become a very important concept in the financial area, being used to measure the risk of financial instruments. In this work, the focus of study is the modeling of volatility, that ...