This study aims to examine the sustainability of the Brazilian public indebtedness using different approaches. Based on the analysis of the conditioning factors of net debt of the public sector (DLSP) in the period 2002-2014, there seems to be a change in fiscal regime between 2011 and 2014...

This study aims to examine the sustainability of the Brazilian public indebtedness using different approaches. Based on the analysis of the conditioning factors of net debt of the public sector (DLSP) in the period 2002-2014, there seems to be a change in fiscal regime between 2011 and 2014...

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model...

The puzzling momentum strategies’ payoffs are defying the rational financial theory asserting the stocks returns’ unpredictability. Moreover, the momentum effect persist the main stocks returns’ anomaly escaping any risk-based explanation. The resilience of this phenomenon had favoured the...

Рассмотрена и обоснована целесообразность использования факторного анализа для построения модели, описывающей конфигурацию и динамику экономического...