Navegando por Autor "Teotônio, Cícero Emanuel"

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    Bitcoin como hedge e diversificador: efeitos no mercado de ações do Brasil
    (2019) Teotônio, Cícero Emanuel; Reis, Felipe Alves; http://lattes.cnpq.br/4966295939906577
    This work aims to analyzewhether Bitcoin can be used as a hedge or diversifier against the Ibovespa index, the Brazilian stock market. This analysis allows investors who use the investments a better position in forming a strategy. For this, the time series model GARCH (1,1) is used, which allows an asset relation. The model was released for data with the return. The results indicate that Bitcoin is an effective and a diversified hedge for this index, which is frequency dependent. As the weekly series adjust, the weekly ones, an efficient diversifier, however, the monthly ones were not meant, and they are always shown as weak hedge.