This 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. An econometrics model is estimated and is a Vector Autoregressive Model with Error Correction...

We test forecast rationality for Brazilian inflation using Survey of Professional Forecasters (SPF) for each month. We consider panel data traditional tests as Mincer and Zarnowitz (1969) and West and McCracken (1998) to verify if forecast errors have zero mean and are uncorrelated with the...

The objective of this study is to evaluate the performance of different strategies to predict the evolution of credit at Brazilian economy. Time series techniques are used to evaluate the performance of macroeconomic indicators in forecasting out-of-sample behavior of the aggregated and...

Reviewing the definition 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 proposed by Engle and Sheppard (2001) as an econometrical - and on the...

In this paper, we analyse the recent principal volatility components analysis procedure. The procedure overcomes several difficulties in modelling and forecasting the conditional covariance matrix in large dimensions arising from the curse of dimensionality. We show that outliers have a...

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 news dataset with intraday frequency, this paper finds evidence that the...

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 regime switching and there are different distributions of returns in bull and...

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 with regime change. Investment strategies for portfolios are presented...

This paper investigates whether or not multivariate co-integrated 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 co-integrated vector are assumed to be known. The estimated model has...