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1. DISTRIBUTIONS OF RETURNS, VOLATILITIES AND CORRELATIONS IN THE BRAZILIAN STOCK MARKET / DISTRIBUIÇÕES DE RETORNOS, VOLATILIDADES E CORRELAÇÕES NO MERCADO ACIONÁRIO BRASILEIRO
The normality assumption is commonly used in the risk management area to describe the distributions of returns standardized by volatilities. However, using five of the most actively traded stocks in Bovespa, this paper shows that this assumption is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when we use the informat
Publicado em: 2004