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Possibilidade de arbitragem no mercado de câmbio brasileiro AgEcon
Cassuce, Francisco Carlos da Cunha; Muller, Carlos Andre da Silva; Campos, Antonio Carvalho.
The objective of this work is to determine the presence of volatility in the spot and futures exchange rates, detecting, thus, the presence of risk. Identified the volatility, it is looked for shaping it through the construction of models capable to forecast the behavior of the spot and futures exchange rates. The GARCH and TARCH models had been used to shape the volatility of the exchange rates. Gotten the estimates, it is verified existence of convergence of these rates in the date of the expirations of future contracts, identifying, thus, the chance to get profits with arbitrage. The results had shown more that the spot and futures exchange rates are very volatile and the spot exchange market presents asymmetry, being affected for negative impacts. The...
Tipo: Journal Article Palavras-chave: Arbitrage; Spot exchange rate; Futures exchange rate; Volatility; International Relations/Trade.
Ano: 2006 URL: http://purl.umn.edu/55177
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