Analysis of breaches and co-breaks in financial series: a non-parametric approach data using high frequency.
nÃo hà === This research use a non-parametric test developed by Lee & MYKLAND (2007) to extract jumps in IBOVESPA series and study its dynamics. Among the qualities of this test there are the ability to identify the exact time of occurrence of break / co-break, the sign and size of it. The jumps...
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| Format: | Others |
| Language: | Portuguese |
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Universidade Federal do CearÃ
2009
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| Online Access: | http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=3730 |