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Estimação e previsão de volatilidade em períodos de crise : um estudo comparando modelos GARCH e modelos aditivos semi-paramétricos
Santos, Douglas Gomes dos; Ziegelmann, Flávio A. - In: Revista Brasileira de Finanças : RBFin 10 (2012) 1, pp. 49-70
Persistent link: https://www.econbiz.de/10009670439
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Volatility forecasting via MIDAS, HAR and their combination : an empirical comparative study for IBOVESPA
Santos, Douglas Gomes dos; Ziegelmann, Flávio A. - In: Journal of forecasting 33 (2014) 4, pp. 284-299
Persistent link: https://www.econbiz.de/10010425741
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Forecasting risk measures using intraday and overnight information
Santos, Douglas Gomes dos; Candido, Osvaldo; Tófoli, … - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013449240
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Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt; Ziegelmann, Flavio A. - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012490211