Modeling and forecasting the volatility of Brazilian asset returns
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Citations
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Cited by:
- Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014.
"Economic gains of realized volatility in the Brazilian stock market,"
Brazilian Review of Finance,
Brazilian Society of Finance, vol. 12(3), pages 319-349.
- Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Textos para discussão 624, Department of Economics PUC-Rio (Brazil).
- Michael McAleer & Marcelo Medeiros, 2008.
"Realized Volatility: A Review,"
Econometric Reviews,
Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
- Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil).
- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014.
"Predicting BRICS stock returns using ARFIMA models,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.
- Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2006-12-01 (All new papers)
- NEP-ETS-2006-12-01 (Econometric Time Series)
- NEP-FOR-2006-12-01 (Forecasting)
- NEP-MST-2006-12-01 (Market Microstructure)
- NEP-RMG-2006-12-01 (Risk Management)
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