3 papers
physics.soc-ph2007
Long Term Economic Relationships From Cointegration Maps
Renato Vicente, Carlos de B. Pereira, Vitor B. P. Leite +1
We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we intro…
physics.soc-ph2005
Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months
Renato Vicente, Charles M. de Toledo, Vitor B. P. Leite +1
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOV…
cond-mat.stat-mech2004
Common Underlying Dynamics in an Emerging Market: From Minutes to Months
Renato Vicente, Charles M. de Toledo, Vitor B. P. Leite +1
We analyse a period spanning 35 years of activity in the Sao Paulo Stock Exchange Index (IBOVESPA) and show that the Heston model with stochastic volatility is capable of explainin…