Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Juan Arismendi Zambrano"'
Publikováno v:
Repositório Institucional da USP (Biblioteca Digital da Produção Intelectual)
Universidade de São Paulo (USP)
instacron:USP
Universidade de São Paulo (USP)
instacron:USP
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f34cf6576c7bd743286050ad48215700
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Biometrika, 108(2). Oxford University Press
Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expressio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e7acbc1327e9ee278a5f0e1ac848acf0
https://mural.maynoothuniversity.ie/15005/
https://mural.maynoothuniversity.ie/15005/
Publikováno v:
SSRN Electronic Journal.
This paper investigates the counterparty credit risk of interest rate swaps positions using the credit valuation adjustment (CVA) measure, and examines the potential dependency relationships between the probability of default (PD) and exposure at def
Publikováno v:
SSRN Electronic Journal.
In this paper a multidimensional term structure model is used to find statistical arbitrage opportunities in the interest rates derivatives market. The implied volatility of the model is calibrated by using a genetic algorithm optimization method. Tw
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Autor:
Thiago Raymon Cruz Cacique da Costa, Eduardo Alves Moreira, Herbert Kimura, Juan Arismendi Zambrano, Vinicius Amorim Sobreiro, Jéssica Lima e Silva, Marcius Correia Lima Filho, Rodolfo Toríbio Farias Nazário
Publikováno v:
The North American Journal of Economics and Finance. 38:86-101
Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies have highlighted that these tools can generate positive alphas when compared with a buy-and-hold strategy, we studied the
In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dd5af541fe43c2336eec3d0f9843f8e9
http://hdl.handle.net/10281/333999
http://hdl.handle.net/10281/333999