This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number of cointegrated vector are assumed to be known. The estimated model has...

Starting from an adapted version of Osler and Chang (1995) methodology, this article empirically evaluates the profitability of investment strategies based on identification of the Head and Shoulders chart pattern in the Brazilian stock market. For that purpose, several investment strategies...

This aim of this paper is to test whether or not there was evidence of financial crises ‘contagion’. The sovereignty debt bonds data for Brazil, Mexico, Russia and Argentine were used to implement such test. The ‘contagion’ hypothesis is tested using multivariate volatility models....

The purpose of this article is to investigate whether, how and when, from a statistical standpoint, Technical Analysis strategies tools hold true for the futures contract of Ibovespa Index, negotiated at the Brazilian Futures Exchange (“Bolsa Brasileira de Mercadorias e Futuros – BM&F”),...

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested...

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the...