Browsing by Author "Pereira, Pedro L. Valls"
Now showing items 1-20 of 51
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Analysis of contagion from the constant conditional correlation model with Markov regime switching
2013-12-06Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to ... -
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
2016Over the last decades, the transmissions of international financial events have been the subject of many academic studies focused on multivariate volatility models. This study evaluates the financial contagion between stock ... -
Analysis of the volatility's dependency structure during the subprime crisis
2013-12-01In this article, we test the hypothesis of contagion amongst sectors within the United States' economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation ... -
Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime
2012-09-12Este estudo testa a hipótese de contágio entre setores da economia dos Estados Unidos durante a crise do Subprime. A metodologia econométrica baseia-se em modelos de correlações condicionais dinâmicas e na aplicação de ... -
Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa
2009-01-26Este artigo tem como objetivo verificar a robustez do contéudo preditivo de regras da análise técnica, usando informações intradiárias do mercado futuro do índice de ações da Bolsa de Valores de São Paulo (Ibovespa Futuro). ... -
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro
1999-04Este trabalho utiliza retornos mensais de 10 portfólios de ações negociadas na Bovespa entre 1987 e 1997, a fim de testar a validade empírica do modelo APT. Foram criadas variáveis macroeconômicas como fatores de variância ... -
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
2018-03Asset 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 ... -
Automated model selection with applications to Brazilian industrial production index
2019-10-23Brazilian Industrial Production Index undergoes different methodological updates and periods of high inflation over time, which prompts researchers to avoid using too long industrial production series. We analyze how ... -
Automatic model selection for forecasting Brazilian stock returns
2015-08-07This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ... -
Bias and size effects of price-comparison search engines: theory and experimental evidence
2005-12-15We analyze the impact on consumer prices of the size and bias of price comparison search engines. In the context of a model related to Burdett and Judd (1983) and Varian (1980), we develop and test experimentally several ... -
The Brazilian foreign exchange market through the microstructure perspective
2015-07-27The objective of this study is to investigate whether the relationship between order ow and the spot exchange rate stems from the fact that the ow aggregates information on dispersed economic fundamentals in the economy. ... -
Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
2009-01-26This paper investigated the properties of equity portfolios under mean-variance framework and built on statistically robust estimates of risk and return. The motivation for this approach is that financial data contains ... -
O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro
2012-07-30Modelos de microestrutura da taxa de câmbio têm recebido especial atenção nos últimos anos por capturarem de forma mais acurada as nuances deste mercado e evidenciarem a existência de informação assimétrica entre os agentes ... -
Contribuições de FHB sobre inflação e hiperinflação - parte 2/5
2015-09-30Seminário realizado no dia 14/08 em homenagem aos 70 anos do Professor Fernando de Holanda Barbosa. Durante o evento, os diversos convidados abordaram sobre as contribuições do Professor Fernando de Holanda Barbosa nos ... -
Cópulas: uma alternativa para a estimação de modelos de risco multivariados
2009-01-26The biggest challenge in portfolio’s risk measures is to find the best way to aggregate risks. This aggregation should be done in the way where we can identify the diversification effect recognized in either asset position ... -
Credit shocks and monetary policy in Brazil: a structural FAVAR approach
2014-05-05This paper investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term structural comes from the estimation ... -
Does the private database help to explain Brazilian inflation?
2019-01The large dimension of variables as regressors requires a reduction in the number of variables, which we do in this paper through the factorial model. This method is useful if the variables are collinear, as is our case. ... -
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
2016-06-22Regular 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 ... -
Economic cycles and term structure: application to Brazil
2010-06-29The objective of this work is to describe the behavior of the economic cycle in Brazil through Markov processes which can jointly model the slope factor of the yield curve, obtained by the estimation of the Nelson-Siegel ...
