CV Lattes
Universidade Estadual de Campinas (UNICAMP). Instituto de Matemática, Estatística e Computação Científica (IMECC) (Institutional affiliation from the last research proposal) Birthplace: Brazil
graduation at estatística from Universidade Estadual de Campinas (2010) and master's at Probability and Statistics from Universidade Estadual de Campinas (2013). (Source: Lattes Curriculum)
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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 lo…
The main goal of the project to be developed at the University Carlos III, Spain, is to study multivariate models of volatility which takes into account two types of asymmetry commonly found in financial series, the asymmetry of the disturbances and the leverage effect. The first type of asymmetryis used to consider one of the stylized facts that losses have distribution with heavier tail…
| 1 / 1 | Completed scholarships in Brazil |
| 1 / 1 | Completed scholarships abroad |
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