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 as on one hand as an econometrics explanation and on the other...

This paper analyses monthly returns of 10 share portfolios negotiated at Bovespa between 1987 and 1997 in order to test the APT model. Macroeconomic factors were created as sources of common variance of these assets. The factors were statistically significant in explaining the relationship...

This paper shows that the LM statistic for testing first order serial correlation in regression models can be computed using the Kalman Filter. It is shown tha.t when there are missing observations, the LM statistic for this tesi is equivalent to the tesi statistic derived by Robinson (1985)...

The aim of this paper is to set out criteria for defining trend and seasonal components in a time series. The criteria are set up primarily in terms of properties involving prediction. Because a structural time series model is set up in terms of components of interest, the relevant information...

We propose generalised stochastic volatility models with Markov regime changing state equations (SVMRS) to investigate the important properties of volatility in stock returns, specifically high persistence and smoothness. The model suggests that volatility is far less persistent and smooth than...

This article aims to test the hypothesis of contagion between the in- dices of nancial markets from the United States to Brazil, Japan and England for the period 2000 to 2009. Time varying copulas were used to capture the impact of Sub-prime crisis in the dependence between mar- kets. The...