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Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
(2020-02)
General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance ...
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
(2019-06)
Based on a General Dynamic Factor Model with infinite-dimensional factor space, we develop a new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The performance ...
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
(2018-03)
Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present ...
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo
(2018-03)
O petróleo é uma importante commodity energética, sendo insumo em diferentes atividades, possuindo efeito direto ou indireto sobre vários setores na economia. Esta commodity tem preços instáveis, resultado de choques ...
On the robustness of the principal volatility components
(2018-03)
In this paper, we analyse the recent principal volatility components analysis procedure. The procedure overcomes several diculties in modelling and forecasting the conditional covariance matrix in large dimensions arising ...
Effects of official and unofficial central bank communication on the Brazilian interest rate curve
(2018-03)
In order to provide greater transparency in their opinions and decisions, central banks around the world use both their official channels and the specialized media to communicate with the general public. Using an unique ...
Uncertainty times for portfolio selection at financial market
(2018-03)
The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model ...
Portfolio pumping no mercado acionário brasileiro
(2018-03)
Neste artigo, discutimos a prática de portfolio pumping para o caso brasileiro. Embora o tema seja frequente em outros países, são poucos os estudos que realizam essa análise para o Brasil. O estudo estatístico foi realizado ...
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
(2016-06-22)
Regular vine copulas are multivariate dependence models constructed from pair-copulas (bivariate copulas). In this paper, we allow the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially ...
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
(2016-05-16)
Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model ...
