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Estimação de volatilidade em períodos de crise: Modelos aditivos semi-paramétricos versus modelos versus modelo Garch

Author

Listed:
  • Douglas Gomes dos Santos

    (UFRGS)

  • Flávio Augusto Ziegelmann

    (UFRGS e LSE-UK)

Abstract

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  • Douglas Gomes dos Santos & Flávio Augusto Ziegelmann, 2008. "Estimação de volatilidade em períodos de crise: Modelos aditivos semi-paramétricos versus modelos versus modelo Garch," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807201932370, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  • Handle: RePEc:anp:en2008:200807201932370
    as

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    References listed on IDEAS

    as
    1. Pereira, Pedro L. Valls & Hotta, Luiz K. & Souza, Luiz Alvares R. de & Almeida, Nuno Miguel C. G. de, 1999. "Alternative Models To Extract Asset Volatility: A Comparative Study," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 19(1), May.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Kim, Woocheol & Linton, Oliver, 2004. "The Live Method For Generalized Additive Volatility Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1094-1139, December.
    4. Issler, João Victor, 1999. "Estimating and Forecasting the Volatility of Brazilian Finance Series Using ARCH Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 19(1), May.
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