Laurini, Márcio P.; Mauad, Roberto B. - In: Economics Bulletin 34 (2014) 2, pp. 1002-1011
This work proposes the application of a stochastic volatility model with jumps to the BRL/USD exchange rate. This model decomposes the process into transitory and permanent components that capture the jumps in the level of the unobserved volatility process. The model estimation is done using...