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    • Comovements and contagion in emergent markets: stock indexes volatilities 

      Lopes, Hedibert Freitas
      The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,'e country specific and eventually spreaded out across neighbor countries, with ...
    • Time-varying covariance structures in currency markets 

      Lopes, Hedibert Freitas
      In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a ...