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MODELAGEM DA VARINCIA REALIZADA:UMA APLICAO NO MERCADO BRASILEIRO E O EFEITO CONTGIO

Victor Bello Accioly

Dissertao de Mestrado apresentada ao Programa de Ps-graduao em Administrao, do Instituto de Psgraduao e Pesquisa em Administrao COPPEAD, da Universidade Federal do Rio de Janeiro, como parte dos requisitos necessrios obteno do ttulo de Mestreem Administrao. Orientadora: Beatriz Vaz de Melo Mendes

Examinada por:

Prof.a Beatriz Vaz de Melo Mendes, Ph.D.

Prof. Ricardo Pereira Cmara Leal, D.Sc.

Prof. Hlio Crtes Vieira Lopes, D.Sc.

Rio de Janeiro Fevereiro / 2010

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111 

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1 ()
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111 $

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t
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c (u1 , u2 ) =
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12

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1 1 t 12 (u1 ) 12 t12 (u2 ) h(u1 , u2 , 12 , 12 ) = t12 +1 ( ) 2 1 12 +(t (12 12 (u2 )) 12 ) 12 +1


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F H

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12 +

2 1 (t 12 (u2 ))

(1

2 12 )
1 + 12 t 12 (u2 )
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12 + 1

111 " + FK = + =OJ


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111 # + FK = /K >A
@A

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{ } C (u, v ) = exp [( log u) + ( log v ) ]1/ ,


@A

111 !

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1/

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111 "

h(u, v, ) = C (u, v )
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1 ( log v )1 [( log u) + ( log v ) ]1/1 . v


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111 #

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@A

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1

111 $

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2=EH ? FK =I
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=FHAIA J= = FH FHEA@=@A
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=I ? FK =I IE

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I

@EBAHA JA @= @=@= F H

F (v |u) =

Cvu (v,u,) u

AI D F=H= =

> I

@=@=I F H

hu|v (u, v, , , r) =

) ) 1 ( (uv )A(t) ( A(t) + ( r (1 t)r + r tr )1+ r r t(1 t)1+r r tr ( + )t v


111 %

hv|u (u, v, , , r) =
(uv )A(t) u

) 1 A(t) + ( r (1 t)r + r t1+r (1 t)) ( r (1 t)r + r tr )1+ r + ( + )(1 t)


111 &

111 % + FK = **"
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( )1/ C (u, v ) = u + v 1 ((u 1) + (v 1) )1/ ,


@A

>0

) IK= BK

@=@= F H

h(u, v, , ) = ( C 1+ ) 1 v 1 (1 + (1 + v )1 ((1 + u ) + (1 + v ) )1 .
111 

111 & + FK = .H=


) @EIJHE>KE @= ? FK = .H= F=H=

0<

@=@= F H 111 

C (u, v ) = 1 log ([ (1 eu )(1 ev )]/ ),


@A

= 1 e
@=@= F H

) IK= @A IE@=@A

c(u, v ) = e(u+v) /[ (1 eu )(1 ev )]2 ,

111

111 ' + FK = **


= BK D F H

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h(u, v, ) = ev [(1 e )(1 eu )1 (1 ev )]1


A E LAHI @= BK D F H

111

!

h1 (q, v, ) = 1 log (1 (1 e )/[(q 1 1)ev + 1]).

111

"

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) ? FK = ** F H K = ? FK = )HGKE A@E= = 5K= BK @A @EIJHE>KE >EL=HE=@= @=@=

( )1/ C (u, v ) = 1 + ((u 1) + (v 1) )1/ , >0


A

111

#

@A

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@=@= F H

h(u, v, , ) = C 1+ (C 1)1 v 1 (1 + v )1+ .

111

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