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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

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

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

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

Filho, Osvaldo C. Silva; Ziegelmann, Flavio A.; Dueker, … - In: Quantitative Finance 14 (2014) 12, pp. 2155-2170

We analyse the dynamic dependence structure between broad stock market indexes from the United States (S&P500), Britain (FTSE100), Brazil (BOVESPA) and Mexico (PCMX). We employ Patton's [<italic>Int. Econ. Rev</italic>., 2006, <bold>2</bold>, 527-556] conditional copula setting and additionally observe the impact of...

Persistent link: https://www.econbiz.de/10011104796

NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

Ziegelmann, Flavio A. - In: Econometric Theory 18 (2002) 04, pp. 985-991

Persistent link: https://www.econbiz.de/10005104683

MISCELLANEA - Nonparametric Estimation of Volatility Functions: The Local Exponential Estimator

Ziegelmann, Flavio A. - In: Econometric theory 18 (2002) 4, pp. 985-992

Persistent link: https://www.econbiz.de/10006973192

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