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O presente texto serviu como base para a apresentação da lição de síntese do autor, efectuada muito recentemente. Agradecem-se os comentários e as sugestões de Paulo M. M. Rodrigues. Naturalmente, comentários e sugestões adicionais serão muito bem vindos. O principal objectivo deste...
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To investigate time heterogeneity in the e¤ects of fiscal policy in the U.S., we use a non-recursive, Blanchard and Perotti-like structural VAR with time-varying parameters, estimated through Bayesian simulation over the 1965:2-2009:2 period. Our evidence suggests that fiscal policy has lost...
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This study investigates the presence of deterministic dependencies in international stock markets using recurrence plots and recurrence quantification analysis (RQA). The results are based on a large set of free float-adjusted market capitalization stock indices, covering a period of 15 years....
Persistent link: https://www.econbiz.de/10008752198
This study evaluates the performance of feed-forward neural networks to model and forecast recovery rates of defaulted bank loans. In order to guarantee that the predictions are mapped into the unit interval, the neural networks are implemented with a logistic activation function in the output...
Persistent link: https://www.econbiz.de/10008460817
The behavior of international stock market returns in terms of their distributional properties, serial dependence, long-memory and conditional volatility is examined. A factor analysis is employed to identify the underlying dimensions of the returns. The analysis reveals the existence of...
Persistent link: https://www.econbiz.de/10008460818