Browsing FGV EESP - Textos para Discussão / Working Paper Series by Author "Pereira, Pedro L. Valls"
Now showing items 1-20 of 37
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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 ... -
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). ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
Effects of official and unofficial central bank communication on the Brazilian interest rate curve
2018-03In 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 ... -
Um estudo sobre os ciclos de negócios brasileiro (1900-2012)
2014-04-02O presente artigo estuda os ciclos de negócios brasileiro no período dos anos 1900 até 2012. Como a série trimestral do PIB real só começa em 1980 é construida a série para o período de 1900 a 1979, utilizando um modelo ... -
Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break
2012-09-17This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are ... -
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
2009-01-26This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994-2003. The economic methodology used is that of multivariate GARCH family ... -
Forecast comparison with nonlinear methods for Brazilian industrial production
2015-07-27This work assesses the forecasts of three nonlinear methods | Markov Switching Autoregressive Model, Logistic Smooth Transition Auto-regressive Model, and Auto-metrics with Dummy Saturation | for the Brazilian monthly ... -
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
2019-06Based 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 ... -
O mercado de câmbio brasileiro pela ótica da microestutura
2014-05-05O objetivo deste trabalho é investigar se a relação entre a taxa de câmbio spot e o fluxo de ordens deriva do fato do fl uxo agregar informações a respeito dos fundamentos econômicos dispersos na economia. Para efetuar ... -
Modelagem e previsão de volatilidade realizada: evidências para o Brasil
2012-09-12Usando dados intradiários dos ativos mais negociados do BOVESPA, este trabalho considerou dois modelos recentemente desenvolvidos na literatura de estimação e previsão de volatilidade realizada. São eles; Heterogeneous ...
