The objective this work is to calculate the VaR of portfolios via GARCH family models with normal and t-student distribution and via Monte Carlo Simulation. It was used three portfolios composite with preferential stocks of five companies of the Ibovespa. The results show that the t distribution...

The forecasting of government revenues is extremely important for an adequate budget execution, since a good accuracy in the estimation allows the stipulation of an expenditure level that meets the demands of the population. Using data released by the National Council of Treasury Policy, the...

The forecasting of government revenues is extremely important for an adequate budget execution, since a good accuracy in the estimation allows the stipulation of an expenditure level that meets the demands of the population. Using data released by the National Council of Treasury Policy, the...

Portugal is characterized by a huge decline in the birth rate, which is a phenomenon that requires - or rather, should already have requested - some kind of intervention, given the consequent costs, including economic, poli- tical and social ones. Despite the evident downward trend in the birth...

In this Discussion Paper, we test forecasting models for inflation and economic activity with macroeconomic data and economic surveys between January 2002 and October 2019 on a monthly basis. Due to the high dimension nature of the set of explanatory variables, we use machine learning (ML)...

In this Discussion Paper, we test forecasting models for inflation and economic activity with macroeconomic data and economic surveys between January 2002 and October 2019 on a monthly basis. Due to the high dimension nature of the set of explanatory variables, we use machine learning (ML)...