Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/13784 |
Resumo: | This work is dedicated to the empirical exercise of generating more restrictions on an asset pricing model with time series developed by Hansen and Singleton JPE 1983. The restrictions go from a simple qualitative increase in the studied assets to a proposed extension derived from a consistent estimator of the stochastic discount factor. Estimates found for the relative risk aversion of the representative agent are as expected, in most cases, reaching values already found in literature, besides the fact that these values are economically plausible. The theoretical extension proposal did not achieve the expected results beacause it seems to improve the systemic estimation marginally. |
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Moza, Luiz Gustavo CamposEscolas::EPGEFGVBonomo, Marco Antônio CesarFerreira, Pedro Cavalcanti GomesIssler, João Victor2015-06-12T19:14:55Z2015-06-12T19:14:55Z2015-04-27MOZA, Luiz Gustavo Campos. Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2015.https://hdl.handle.net/10438/13784This work is dedicated to the empirical exercise of generating more restrictions on an asset pricing model with time series developed by Hansen and Singleton JPE 1983. The restrictions go from a simple qualitative increase in the studied assets to a proposed extension derived from a consistent estimator of the stochastic discount factor. Estimates found for the relative risk aversion of the representative agent are as expected, in most cases, reaching values already found in literature, besides the fact that these values are economically plausible. The theoretical extension proposal did not achieve the expected results beacause it seems to improve the systemic estimation marginally.Este Trabalho se Dedica ao exercício empírico de gerar mais restrições ao modelo de apreçamento de ativos com séries temporais desenvolvido por Hansen e Singleton JPE 1983. As restrições vão, desde um simples aumento qualitativo nos ativos estudados até uma extensão teórica proposta a partir de um estimador consistente do fator estocástico de desconto. As estimativas encontradas para a aversão relativa ao risco do agente representativo estão dentro do esperado, na maioria dos casos, já que atingem valores já encontrados na literatura além do fato destes valores serem economicamente plausíveis. A extensão teórica proposta não atingiu resultados esperados, parecendo melhorar a estimação do sistema marginalmente.porPricesMacroeconomicsTime series analysisPreçosMacroeconomiaAnálise de séries TemporaisEconomiaPreçosMacroeconomiaAnálise de séries temporaisImpondo mais restrições ao modelo de apreçamento vetorial com séries temporaisinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFPDFapplication/pdf680259https://repositorio.fgv.br/bitstreams/ce32d067-8698-43fc-8d10-b5824bc49cd4/downloade66adf3e460a5e9ac1f5e329b620babcMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/d0d5797f-cf73-4744-81c5-6c53682f09d9/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTMCP_send.pdf.txtMCP_send.pdf.txtExtracted 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|
dc.title.por.fl_str_mv |
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais |
title |
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais |
spellingShingle |
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais Moza, Luiz Gustavo Campos Prices Macroeconomics Time series analysis Preços Macroeconomia Análise de séries Temporais Economia Preços Macroeconomia Análise de séries temporais |
title_short |
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais |
title_full |
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais |
title_fullStr |
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais |
title_full_unstemmed |
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais |
title_sort |
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais |
author |
Moza, Luiz Gustavo Campos |
author_facet |
Moza, Luiz Gustavo Campos |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.member.none.fl_str_mv |
Bonomo, Marco Antônio Cesar Ferreira, Pedro Cavalcanti Gomes |
dc.contributor.author.fl_str_mv |
Moza, Luiz Gustavo Campos |
dc.contributor.advisor1.fl_str_mv |
Issler, João Victor |
contributor_str_mv |
Issler, João Victor |
dc.subject.eng.fl_str_mv |
Prices Macroeconomics Time series analysis |
topic |
Prices Macroeconomics Time series analysis Preços Macroeconomia Análise de séries Temporais Economia Preços Macroeconomia Análise de séries temporais |
dc.subject.por.fl_str_mv |
Preços Macroeconomia Análise de séries Temporais |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Preços Macroeconomia Análise de séries temporais |
description |
This work is dedicated to the empirical exercise of generating more restrictions on an asset pricing model with time series developed by Hansen and Singleton JPE 1983. The restrictions go from a simple qualitative increase in the studied assets to a proposed extension derived from a consistent estimator of the stochastic discount factor. Estimates found for the relative risk aversion of the representative agent are as expected, in most cases, reaching values already found in literature, besides the fact that these values are economically plausible. The theoretical extension proposal did not achieve the expected results beacause it seems to improve the systemic estimation marginally. |
publishDate |
2015 |
dc.date.accessioned.fl_str_mv |
2015-06-12T19:14:55Z |
dc.date.available.fl_str_mv |
2015-06-12T19:14:55Z |
dc.date.issued.fl_str_mv |
2015-04-27 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
MOZA, Luiz Gustavo Campos. Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2015. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/13784 |
identifier_str_mv |
MOZA, Luiz Gustavo Campos. Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2015. |
url |
https://hdl.handle.net/10438/13784 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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