Essays in Econometrics

Detalhes bibliográficos
Autor(a) principal: Martins, Tiago dos Guaranys
Data de Publicação: 2022
Tipo de documento: Tese
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/33218
Resumo: Esta tese é composta de três ensaios relacionados a econometria. O primeiro deles busca explicar o porquê e por quanto os agentes profissionais discordam em suas projeções. O segundo ensaio realiza exercícios empíricos de modelos propostos na literatura de apreçamento de ativos em relação a base proposta por Fama e French (1992,1993). No último capítulo, nós estimamos um indicador diário da inflação do Brasil utilizando um modelo de frequências mistas.
id FGV_5dbc52cf30e976f6df6a44f0e4af4dff
oai_identifier_str oai:repositorio.fgv.br:10438/33218
network_acronym_str FGV
network_name_str Repositório Institucional do FGV (FGV Repositório Digital)
repository_id_str 3974
spelling Martins, Tiago dos GuaranysEscolas::EPGEMatos, Silvia MariaIachan, Felipe SaraivaAlmeida, Caio Ibsen Rodrigues deBarsanetti, BrunoIssler, João Victor2023-02-09T13:11:59Z2023-02-09T13:11:59Z2022-12-21https://hdl.handle.net/10438/33218Esta tese é composta de três ensaios relacionados a econometria. O primeiro deles busca explicar o porquê e por quanto os agentes profissionais discordam em suas projeções. O segundo ensaio realiza exercícios empíricos de modelos propostos na literatura de apreçamento de ativos em relação a base proposta por Fama e French (1992,1993). No último capítulo, nós estimamos um indicador diário da inflação do Brasil utilizando um modelo de frequências mistas.This thesis is composed of three essays related to econometrics. The first seeks to explain why and how much professional agents disagree in their projections. The second essay performs empirical exercises on models proposed in the asset pricing literature in relation to the basis proposed by Fama and French (1992, 1993). In the last chapter, we estimate a daily indicator for brazilian inflation using a mixed-frequency model.engEconometriaFator Estocástico de DescontoInflaçãoNowcastingDisagreementEconometricsStochastic Discount FactorInflationEconomiaEconometriaFator Estocástico de DescontoInflaçãoPrevisão econômicaEssays in Econometricsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFPDFapplication/pdf1365295https://repositorio.fgv.br/bitstreams/63017832-9490-4139-a3a8-86960b3fa6ec/download928a0a3735758c05cd98427b3a475e86MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/fb841853-3774-49e2-b8c1-8041abbaeb9a/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTTese_Tiago_Martins.pdf.txtTese_Tiago_Martins.pdf.txtExtracted texttext/plain106648https://repositorio.fgv.br/bitstreams/757a36c9-435b-41f0-aa3e-c3111191aca4/download96c6461e1ad7f3c8a2babcbfd796f2b2MD55PDF.txtPDF.txtExtracted texttext/plain106648https://repositorio.fgv.br/bitstreams/22f769f7-5292-4d27-b04e-b7c59a132988/download96c6461e1ad7f3c8a2babcbfd796f2b2MD57THUMBNAILTese_Tiago_Martins.pdf.jpgTese_Tiago_Martins.pdf.jpgGenerated Thumbnailimage/jpeg2727https://repositorio.fgv.br/bitstreams/4bebf77d-f9c4-48f7-b875-16aa3c103f6c/downloadfef10b58bc9b063f8e9ada0d7b1f6ed1MD56PDF.jpgPDF.jpgGenerated Thumbnailimage/jpeg2727https://repositorio.fgv.br/bitstreams/d5470ba3-6f0f-463b-a52b-36fe3fa444cb/downloadfef10b58bc9b063f8e9ada0d7b1f6ed1MD5810438/332182024-07-08 18:50:20.628open.accessoai:repositorio.fgv.br:10438/33218https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742024-07-08T18:50:20Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)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
dc.title.por.fl_str_mv Essays in Econometrics
title Essays in Econometrics
spellingShingle Essays in Econometrics
Martins, Tiago dos Guaranys
Econometria
Fator Estocástico de Desconto
Inflação
Nowcasting
Disagreement
Econometrics
Stochastic Discount Factor
Inflation
Economia
Econometria
Fator Estocástico de Desconto
Inflação
Previsão econômica
title_short Essays in Econometrics
title_full Essays in Econometrics
title_fullStr Essays in Econometrics
title_full_unstemmed Essays in Econometrics
title_sort Essays in Econometrics
author Martins, Tiago dos Guaranys
author_facet Martins, Tiago dos Guaranys
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.member.none.fl_str_mv Matos, Silvia Maria
Iachan, Felipe Saraiva
Almeida, Caio Ibsen Rodrigues de
Barsanetti, Bruno
dc.contributor.author.fl_str_mv Martins, Tiago dos Guaranys
dc.contributor.advisor1.fl_str_mv Issler, João Victor
contributor_str_mv Issler, João Victor
dc.subject.por.fl_str_mv Econometria
Fator Estocástico de Desconto
Inflação
Nowcasting
Disagreement
topic Econometria
Fator Estocástico de Desconto
Inflação
Nowcasting
Disagreement
Econometrics
Stochastic Discount Factor
Inflation
Economia
Econometria
Fator Estocástico de Desconto
Inflação
Previsão econômica
dc.subject.eng.fl_str_mv Econometrics
Stochastic Discount Factor
Inflation
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Econometria
Fator Estocástico de Desconto
Inflação
Previsão econômica
description Esta tese é composta de três ensaios relacionados a econometria. O primeiro deles busca explicar o porquê e por quanto os agentes profissionais discordam em suas projeções. O segundo ensaio realiza exercícios empíricos de modelos propostos na literatura de apreçamento de ativos em relação a base proposta por Fama e French (1992,1993). No último capítulo, nós estimamos um indicador diário da inflação do Brasil utilizando um modelo de frequências mistas.
publishDate 2022
dc.date.issued.fl_str_mv 2022-12-21
dc.date.accessioned.fl_str_mv 2023-02-09T13:11:59Z
dc.date.available.fl_str_mv 2023-02-09T13:11:59Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/doctoralThesis
format doctoralThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/33218
url https://hdl.handle.net/10438/33218
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
bitstream.url.fl_str_mv https://repositorio.fgv.br/bitstreams/63017832-9490-4139-a3a8-86960b3fa6ec/download
https://repositorio.fgv.br/bitstreams/fb841853-3774-49e2-b8c1-8041abbaeb9a/download
https://repositorio.fgv.br/bitstreams/757a36c9-435b-41f0-aa3e-c3111191aca4/download
https://repositorio.fgv.br/bitstreams/22f769f7-5292-4d27-b04e-b7c59a132988/download
https://repositorio.fgv.br/bitstreams/4bebf77d-f9c4-48f7-b875-16aa3c103f6c/download
https://repositorio.fgv.br/bitstreams/d5470ba3-6f0f-463b-a52b-36fe3fa444cb/download
bitstream.checksum.fl_str_mv 928a0a3735758c05cd98427b3a475e86
dfb340242cced38a6cca06c627998fa1
96c6461e1ad7f3c8a2babcbfd796f2b2
96c6461e1ad7f3c8a2babcbfd796f2b2
fef10b58bc9b063f8e9ada0d7b1f6ed1
fef10b58bc9b063f8e9ada0d7b1f6ed1
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
MD5
MD5
repository.name.fl_str_mv Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv
_version_ 1813797727722536960

Registros relacionados