Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais

Detalhes bibliográficos
Autor(a) principal: Moza, Luiz Gustavo Campos
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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spelling 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
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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
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