Showing physics.soc-phShow all
2 papers · 1 filter
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…