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- W3124814114 abstract "The paper aims to estimate the impact of calendar effects in volatility of the preferred and ordinary shares of Vale. The data researched were the stocks prices Vale between January 2, 1995 and October 26, 2011. The Stochastic Volatility Model(SV) was the Model and the Kalman Filter was the estimation method used. The results indicate that the privatization and the public offer of the stocks of Vale changed the behavior of volatility of the shares. The calendar effects have effect in volatility. The calendar effects had a greater explanatory power over the ordinary shares." @default.
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- W3124814114 date "2013-01-01" @default.
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- W3124814114 title "Impact of Calendar Effects in the Volatility of Vale Shares" @default.
- W3124814114 hasPublicationYear "2013" @default.
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