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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2002.tde-20122021-162925
Document
Author
Full name
João Alberto Domenici
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2002
Supervisor
Committee
Morettin, Pedro Alberto (President)
Santos, Jose Carlos de Souza
Streibel, Mariane
Title in Portuguese
Uma análise empírica de séries temporais de risco e retorno brasileiras e americanas
Keywords in Portuguese
Finanças
Opções financeiras - modelos econométricos
Abstract in Portuguese
Busquei neste ensaio colaborar no suporte empírico às teorias económico-financeiras, aplicando métodos matemáticos e estatísticos a dados recentes de risco e retorno. Utilizei para tal, séries temporais mensais de índices de ações e de juros de títulos de renda fixa dos mercados brasileiro e norte-americano. Após apresentar ampla teoria, analisei várias propriedades individuais de cada série, como seus momentos, e também relações e interdependências, como cointegração e causalidade. Com a finalidade de estender a pesquisa aos conhecidos modelos AIRCH/GARCH, complementei o estudo com uma série longa de dados diários de preços do bezerro no mercado brasileiro, onde ajustem um modelo clássico para a média e para a variância condicional.
Title in English
An empirical analysis of Brazilian and American risk and return time series
Keywords in English
Finance
Financial options - econometric models
Abstract in English
In this essay, I atempted to agregate on economica] theory empirícal studies, app]ying mathematical and statistical methods on the latest risk and retum data. To do so, l used monthly bases stock market index and fixed income time series provided by Brazilian and Amerícan markets. Based on the presented theory, l analyzed many individual properties for each series, just like their moments, and also interdependency and relationship, as cointegration and causalty. l also extended my studíes to ARCH/GARCH models, adjusting a classic model for the mean and conditional variance, using a long daily bases cattle prices data in Brazilan market.
 
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Publishing Date
2021-12-20
 
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