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Long memory in the R$, US$ exchange rate : a robust analysis
Laurini, Márcio Poletti; Portugal, Marcelo Savino - In: Brazilian review of econometrics : the review of the … 24 (2004) 1, pp. 109-147
Persistent link: https://www.econbiz.de/10003116247
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Bayesian inference applied to dynamic Nelson-Siegel model with stochastic volatility
Caldeira, João F.; Laurini, Márcio Poletti; Portugal, … - In: Brazilian review of econometrics : BRE ; the review of … 30 (2010) 1, pp. 123-161
Persistent link: https://www.econbiz.de/10009704732
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Empirical market microstructure : an analysis of the BRL/US$ exchange rate market
Laurini, Márcio Poletti; Furlani, Luiz Gustavo Cassilatti - In: Emerging markets review 9 (2008) 4, pp. 247-265
Persistent link: https://www.econbiz.de/10003811137
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Empirical market microstructure : an analysis of the BRL/US$ exchange rate market
Laurini, Márcio Poletti; Furlani, Luiz Gustavo Cassilatti - In: Emerging markets review 9 (2008) 4, pp. 247-265
Persistent link: https://www.econbiz.de/10009869125
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A hybrid data cloning maximum likelihood estimator for stochastic volatility models
Laurini, Márcio Poletti - In: Journal of time series econometrics 5 (2013) 2, pp. 193-229
Persistent link: https://www.econbiz.de/10010225441
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A continuous spatio-temporal model for house prices in the USA
Laurini, Márcio Poletti - In: The annals of regional science : an international … 58 (2017) 1, pp. 209-233
Persistent link: https://www.econbiz.de/10011864479
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Multivariate Stochastic Volatility-Double Jump Model : An Application for Oil Assets
Laurini, Márcio Poletti - 2017
We propose a new multivariate model to capture the presence of jumps in mean and conditional variance in the returns of oil prices and companies in this sector. The model is based on the presence of common factors associated with jumps in mean and variance, as it performs a decomposition of the...
Persistent link: https://www.econbiz.de/10012947795
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Can Brazilian Central Bank communication help to predict the yield curve?
Alves, Cássio Roberto de Andrade; Abraham, Kuruvilla Joseph - In: Journal of forecasting 42 (2023) 6, pp. 1429-1444
Persistent link: https://www.econbiz.de/10014338912
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Time-varying higher moments in Bitcoin
Vieira, Leonardo Ieracitano; Laurini, Márcio Poletti - In: Digital finance : smart data analytics, investment … 5 (2023) 2, pp. 231-260
Persistent link: https://www.econbiz.de/10014369257
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Interest rate forecasting with principal component analysis based on long-run covariance matrix
Hissinaga, Hugo; Laurini, Márcio Poletti - In: Annals of financial economics 19 (2024) 2, pp. 1-50
Persistent link: https://www.econbiz.de/10015323569