Previsão da taxa de juros utilizando o modelo de Vasicek

Detalhes bibliográficos
Autor(a) principal: Schoof, Hagen
Data de Publicação: 2011
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/8617
Resumo: Este trabalho estuda a previsão da taxa de juros com foco em uma estratégia de investimento. Inicialmente é feita a parametrização da taxa de juros com o modelo de Vasicek para posterior aplicação do modelo autorregressivo tanto na taxa de juros quanto nos parâmetros do Vasicek. O instrumento financeiro escolhido para verificar a eficácia da metodologia proposta foi o constant matutity swap aplicado em alguns vértices. Os resultados variaram significativamente para os diferentes horizontes de calibragem e períodos de amostragem sem um padrão de desempenho.
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spelling Schoof, HagenEscolas::EESPSchiozer, Rafael FelipeCosta, Oswaldo Luiz do ValleMaiali, André Cury2011-09-19T21:21:01Z2011-09-19T21:21:01Z2011-08-17SCHOOF, Hagen. Previsão da taxa de juros utilizando o modelo de Vasicek. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2011.http://hdl.handle.net/10438/8617Este trabalho estuda a previsão da taxa de juros com foco em uma estratégia de investimento. Inicialmente é feita a parametrização da taxa de juros com o modelo de Vasicek para posterior aplicação do modelo autorregressivo tanto na taxa de juros quanto nos parâmetros do Vasicek. O instrumento financeiro escolhido para verificar a eficácia da metodologia proposta foi o constant matutity swap aplicado em alguns vértices. Os resultados variaram significativamente para os diferentes horizontes de calibragem e períodos de amostragem sem um padrão de desempenho.This work analyses the forecast of the interest rate focusing an investment strategy. First the interest rate is parameterized using the Vasicek model, then the autorregressive model is applied on the interest rate and the parameters of Vasicek’s model. The financial product used to check the performance proposed is the constant maturity swap on some maturities. The results significantly change on the sampling period and the calibration horizon without a standard behavior.porRateForecastJurosVasicekPrevisãoEconomiaTaxas de juros - Modelos matemáticosInvestimentos - AdministraçãoPrevisão da taxa de juros utilizando o modelo de Vasicekinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALDissertação30.pdfDissertação30.pdfDissertaçãoapplication/pdf1093774https://repositorio.fgv.br/bitstreams/7f23da8d-ce90-4231-8fbf-cb5b680a9408/download39a1fb805474efebc7cb743bca515a10MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/d991ca9c-df5e-48c4-b542-76f37cf3300e/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTDissertação30.pdf.txtDissertação30.pdf.txtExtracted 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dc.title.por.fl_str_mv Previsão da taxa de juros utilizando o modelo de Vasicek
title Previsão da taxa de juros utilizando o modelo de Vasicek
spellingShingle Previsão da taxa de juros utilizando o modelo de Vasicek
Schoof, Hagen
Rate
Forecast
Juros
Vasicek
Previsão
Economia
Taxas de juros - Modelos matemáticos
Investimentos - Administração
title_short Previsão da taxa de juros utilizando o modelo de Vasicek
title_full Previsão da taxa de juros utilizando o modelo de Vasicek
title_fullStr Previsão da taxa de juros utilizando o modelo de Vasicek
title_full_unstemmed Previsão da taxa de juros utilizando o modelo de Vasicek
title_sort Previsão da taxa de juros utilizando o modelo de Vasicek
author Schoof, Hagen
author_facet Schoof, Hagen
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Schiozer, Rafael Felipe
Costa, Oswaldo Luiz do Valle
dc.contributor.author.fl_str_mv Schoof, Hagen
dc.contributor.advisor1.fl_str_mv Maiali, André Cury
contributor_str_mv Maiali, André Cury
dc.subject.eng.fl_str_mv Rate
Forecast
topic Rate
Forecast
Juros
Vasicek
Previsão
Economia
Taxas de juros - Modelos matemáticos
Investimentos - Administração
dc.subject.por.fl_str_mv Juros
Vasicek
Previsão
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Taxas de juros - Modelos matemáticos
Investimentos - Administração
description Este trabalho estuda a previsão da taxa de juros com foco em uma estratégia de investimento. Inicialmente é feita a parametrização da taxa de juros com o modelo de Vasicek para posterior aplicação do modelo autorregressivo tanto na taxa de juros quanto nos parâmetros do Vasicek. O instrumento financeiro escolhido para verificar a eficácia da metodologia proposta foi o constant matutity swap aplicado em alguns vértices. Os resultados variaram significativamente para os diferentes horizontes de calibragem e períodos de amostragem sem um padrão de desempenho.
publishDate 2011
dc.date.accessioned.fl_str_mv 2011-09-19T21:21:01Z
dc.date.available.fl_str_mv 2011-09-19T21:21:01Z
dc.date.issued.fl_str_mv 2011-08-17
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 SCHOOF, Hagen. Previsão da taxa de juros utilizando o modelo de Vasicek. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2011.
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/8617
identifier_str_mv SCHOOF, Hagen. Previsão da taxa de juros utilizando o modelo de Vasicek. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2011.
url http://hdl.handle.net/10438/8617
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