Daniela Kububi Cordeiro e Silva Apreçamento de Opções com Modelos Garch Não-Lineares
Dissertação de Mestrado Page 1 Daniela Kububi Cordeiro e Silva Apreçamento de …

Principal Component Analysis (PCA) has been traditionally used for identifying the most
important factors driving term structures of interest rates movements. Once one maps the term …

Multivariate Affine term structure models have been increasingly used for pricing derivatives
in fixed income markets. In these models, uncertainty of the term structure is driven by a …

Simulating the movements of term structures of interest rates plays an important role when
optimally allocating portfolios in fixed income markets. These movements allow the …

This online appendix reports additional robustness checks for our main results. Wepresent
a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (…

The stochastic volatility model proposed by Fouque et al.(SVFPS, 2000a) explores a rapid
time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing …

In econometric applications of the term structure, affine models are among the most used
ones. Nevertheless, even presenting a closed form characteristic function, its estimation …

Fixed income emerging markets are an interesting investment alternative. Measuring market
risks is mandatory in order to avoid unexpected huge losses. The most used market risk …

From the empirical viewpoint, the Expectation Hypothesis Theory (EHT) of the term structure
of interest rates has been extensively tested and rejected for US term structure data. Dai and …

Mercados emergentes de renda fixa desenvolveram-se rapidamente nesta última década.
No contexto de mercados de renda fixa, a estrutura a termo da taxa de juros desempenha …