DSpace UNL

Faculdade de Ciências e Tecnologia (FCT) >
FCT Departamentos >
FCT: Departamento de Matemática >
FCT: DM - Teses de Doutoramento >

Please use this identifier to cite or link to this item: http://hdl.handle.net/10362/1766

Título: Brownian motion with drift threshold model
Autor: Mota, Pedro José dos Santos Palhinhas
Orientador: Esquível, Manuel L.
Kessler, Mathieu
Issue Date: 2008
Editora: FCT - UNL
Resumo: In this thesis we implement estimating procedures in order to estimate threshold parameters for the continuous time threshold models driven by stochastic di®erential equations. The ¯rst procedure is based on the EM (expectation-maximization) algorithm applied to the threshold model built from the Brownian motion with drift process. The second procedure mimics one of the fundamental ideas in the estimation of the thresholds in time series context, that is, conditional least squares estimation. We implement this procedure not only for the threshold model built from the Brownian motion with drift process but also for more generic models as the ones built from the geometric Brownian motion or the Ornstein-Uhlenbeck process. Both procedures are implemented for simu- lated data and the least squares estimation procedure is also implemented for real data of daily prices from a set of international funds. The ¯rst fund is the PF-European Sus- tainable Equities-R fund from the Pictet Funds company and the second is the Parvest Europe Dynamic Growth fund from the BNP Paribas company. The data for both funds are daily prices from the year 2004. The last fund to be considered is the Converging Europe Bond fund from the Schroder company and the data are daily prices from the year 2005.
URI: http://hdl.handle.net/10362/1766
Appears in Collections:FCT: DM - Teses de Doutoramento

Files in This Item:

File Description SizeFormat
Mota_2008.pdf992,86 kBAdobe PDFView/Open

Please give feedback about this item
FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Logotipo do DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Universidade Nova de Lisboa  - Feedback
Promotores do RCAAP   Financiadores do RCAAP

Fundação para a Ciência e a Tecnologia Universidade do Minho   Governo Português Ministério da Educação e Ciência PO Sociedade do Conhecimento (POSC) Portal oficial da União Europeia