| Grant number: | 11/02881-9 |
| Support Opportunities: | Scholarships in Brazil - Master |
| Start date: | August 01, 2011 |
| End date: | July 31, 2013 |
| Field of knowledge: | Physical Sciences and Mathematics - Probability and Statistics - Statistics |
| Principal Investigator: | Luiz Koodi Hotta |
| Grantee: | Daniel de Almeida |
| Host Institution: | Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil |
| Associated scholarship(s): | 12/09597-7 - Asymmetries in volatility and perturbations in multivariate GARCH models, BE.EP.MS |
Abstract The dissertation considers two type of asymmetry found in financial time series, the asymmetry of the perturbations and in the volatility, known as leverage effect. The first asymmetry consider one of the stylized facts found in most financial time series, where the left tails is heavier than the right tail. The leverage effect comes from the fact that the market react differently from losses and gains. It is considered the most popular volatility models, the GARCH and Stochastic Volatility models. The asymmetries will be considered separately and jointly, both for the univariate and multivariate cases. The application will consider simulated and real data. (AU) | |
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