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Master's Dissertation
DOI
https://doi.org/10.11606/D.45.2006.tde-04092007-220727
Document
Author
Full name
Marcio Jose de Medeiros
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2006
Supervisor
Committee
Paula, Gilberto Alvarenga (President)
Giampaoli, Viviana
Labra, Filidor Edilfonso Vilca
Title in Portuguese
Métodos de diagnóstico em modelos autoregressivos simétricos
Keywords in Portuguese
Análise de diagnóstico
auto-regressivos
CAPM
modelos autoregressivos simétricos
modelos econométricos
Abstract in Portuguese
Os modelos autoregressivos simétricos são modelos de regressão em que os erros são correlacionados -- AR(1) -- e pertencem à classe de distribuições simétricas. O objetivo deste trabalho é discutir métodos de diagnóstico de influência para esses modelos. Para ilustrar a metodologia, são apresentados exemplos do modelo de precificação de ativos (CAPM).
Title in English
Diagnostic Methods in Symmetric Autoregressive Models
Keywords in English
diagnostic methods
symmetric autoregressive models
Abstract in English
The symmetric autoregressive models are regression models in which the errors are correlated and belong to the class of symmetrical distributions. The aim of this work is to discuss influence diagnostic methods for those models. To illustrate the methodology, examples of Capital Asset Pricing Models (CAPM) are presented.
 
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MarcioMedeiros.pdf (573.39 Kbytes)
Publishing Date
2007-10-09
 
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