Browsing by Author "Xavier, Cleber"

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    Dynamic conditional correlation GARCH : a multivariate time series novel using a bayesian approach.
    (2019) Nascimento, Diego Carvalho do; Xavier, Cleber; Felipe, Israel José dos Santos; Louzada Neto, Francisco
    The Dynamic Conditional Correlation GARCH (DCC-GARCH) mutation model is considered using a Monte Carlo approach via Markov chains in the estimation of parameters, time-dependence variation is visually demonstrated. Fifteen indices were analyzed from the main financial markets of developed and developing countries from different continents. The performances of indices are similar, with a joint evolution. Most index returns, especially SPX and NDX, evolve over time with a higher positive correlation.