Essays in financial econometrics

• Ano de defesa: 2019
• Autor(a) principal: Chaim, Pedro Luiz Paolino
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Biblioteca Digitais de Teses e Dissertações da USP
• Palavras-chave em Português: Alargamento de filtração; Bitcoin; Bolhas financeiras; Co-jumps; Criptomoedas; Cryptocurrencies; Filtration enlargement; Financial bubbles; Foreign exchange markets; Long memory; Martingales locais estritos; Memória longa; Mercados futuros de câmbio; Predição de volatilidade; Saltos conjuntos; Stochastic volatility; Strict local martingales; Volatility forecasting
• Link de acesso: http://www.teses.usp.br/teses/disponiveis/96/96131/tde-07102019-101557/

This dissertation is composed by five self-contained papers on broad themes in financial econometrics. The first two papers are applications of stochastic volatility models with discontinuous jumps to cryptocurrencies. Third and fourth papers deal with strict local martingale theory, one is an investigation regarding the presence of price bubbles in Bitcoin and the other proposes an interpretation for observed systematic forecast errors in Brazilian foreign exchange markets. The fifth and final paper discusses the estimation of long memory stochastic volatility models using integrated nested Laplace approximations