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Master's Dissertation
DOI
https://doi.org/10.11606/D.45.2012.tde-01032013-224944
Document
Author
Full name
Aníbal Emiliano da Silva Neto
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2012
Supervisor
Committee
Chiann, Chang (President)
Alencar, Airlane Pereira
Marques, Guilherme de Oliveira Lima Cagliari
Title in Portuguese
Comparação de métodos de estimação de modelos de apreçamento de ativos
Keywords in Portuguese
análise rolling
Modelos de apreçamento de ativos
modelos de consumo.
modelos de fatores
Abstract in Portuguese
O objetivo deste trabalho é comparar diferentes formas de estimação de modelos de apreçamento de ativos. Além dos métodos tradicionais, que utilizam toda a amostra no processo de estimação dos parâmetros do modelo, será utilizado o método rolling, que estima os parâmetros através da utilização de janelas móveis de tamanho fixo. Com isso, utilizando a técnica de backtesting, procura-se averiguar se o método rolling proporciona um ganho na qualidade de ajuste em modelos de apreçamento de ativos.
Title in English
Comparison of methods for estimation of asset pricing models
Keywords in English
asset pricing models
consumption-based models.
factor models
rolling analysis
Abstract in English
The aim of this project is to compare methods of estimating asset pricing models. In addition to using traditional methods, which estimate the models parameters by using the entire sample at once, the rolling method will be used. This method estimates the models parameters by using a rolling window of fixed size through the sample. By using backtesting, we seek to investigate whether the rolling approach provides an improvement in the goodness of fit in asset pricing models.
 
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Publishing Date
2013-03-19
 
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