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Alternative Models to extract asset volatility: a comparative study

Author Info

Listed author(s):
  • Pedro L. Valls Pereira
  • Hotta, L.K.
  • Souza, L.A.R.

Abstract

No abstract is available for this item.

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File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=565
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Paper provided by Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_14.

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Date of creation: Oct 1999
Handle: RePEc:ibm:finlab:flwp_14
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Cited by:

  1. repec:sbe:breart:v:28:y:2008:i:2:a:1511 is not listed on IDEAS
  2. Maurício Yoshinori Une & Marcelo Savino Portugal, 2005. "Fear of disruption: a model of Markov-switching regimes for the Brazilian country risk conditional volatility," Econometrics 0509005, EconWPA.
  3. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2008. "Testing the Hypothesis of Contagion Using Multivariate Volatility Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(2), November.
  4. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
    [Testing the contagion hypotheses using multivariate volatility models]    ," MPRA Paper 10356, University Library of Munich, Germany.
  5. 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 Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  6. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.

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