Navegação Ciências Sociais Aplicadas por Autor "Boff, Tainan de Bacco Freitas"
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Assessing the contribution of garch-type models with realized measures to BM&FBovespa stocks allocation
Boff, Tainan de Bacco Freitas (2018) [Dissertação]In this work we perform an extensive backtesting study targeting as a main goal to assess the performance of global minimum variance (GMV) portfolios built on volatility forecasting models that make use of high frequency ...