Value-at-risk analysis for stock market indexes: a comparison of volatility models (2012)
- Authors:
- USP affiliated authors: LIMA, FABIANO GUASTI - FEARP ; PIMENTA JÚNIOR, TABAJARA - FEARP
- Unidade: FEARP
- Subjects: AVALIAÇÃO DE RISCO; PREÇO DE AÇÕES (ÍNDICES)
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: Journal of Academy of Business and Economics
- ISSN: 1542-8710
- Volume/Número/Paginação/Ano: v. 12, n. 1, p. 125-138, 2012
-
ABNT
GAIO, Luiz Eduardo e PIMENTA JÚNIOR, Tabajara e LIMA, Fabiano Guasti. Value-at-risk analysis for stock market indexes: a comparison of volatility models. Journal of Academy of Business and Economics, v. 12, n. 1, p. 125-138, 2012Tradução . . Acesso em: 15 maio 2024. -
APA
Gaio, L. E., Pimenta Júnior, T., & Lima, F. G. (2012). Value-at-risk analysis for stock market indexes: a comparison of volatility models. Journal of Academy of Business and Economics, 12( 1), 125-138. -
NLM
Gaio LE, Pimenta Júnior T, Lima FG. Value-at-risk analysis for stock market indexes: a comparison of volatility models. Journal of Academy of Business and Economics. 2012 ; 12( 1): 125-138.[citado 2024 maio 15 ] -
Vancouver
Gaio LE, Pimenta Júnior T, Lima FG. Value-at-risk analysis for stock market indexes: a comparison of volatility models. Journal of Academy of Business and Economics. 2012 ; 12( 1): 125-138.[citado 2024 maio 15 ] - Volatility behaviour of BRIC capital markets in the 2008 international financial crisis
- Stock recommendations and investment portfolio formation: a study in the Brazilian market
- The behavior of Brazilian companies shares return under social responsibility
- Macroeconomic variables and foreign capital flows in brazilian stock market
- The hurst exponent: a study of the major international stock markets
- The effects of ADR listing on profitability, liquidity and volatility of brazilian stocks
- Effect of the statistical volatility in the writing of covered call options strategy
- The “week-day effect” anomaly in the behavior of stock index returns of Brazil, Mexico and the USA
- Performance of the different RAROC models and their relation with the creation of economic value: a study of the largest banks operating in Brazil
- The relation between corporate governance and the performance in the brazilian public companies
How to cite
A citação é gerada automaticamente e pode não estar totalmente de acordo com as normas