This work presents an analysis of the presence of arbitrage opportunities in the term structure of interest rates, through the estimation of the affine generalized Nelson-Siegel model with correction for no-arbitrage. We challenge the necessity of the condition of noarbitrage using the Brazilian...

In this paper, we analyze the tornado occurrences in the Unites States. To perform inference procedures for the spatio-temporal point process we adopt a dynamic representation of Log-Gaussian Cox Process. This representation is based on the decomposition of intensity function in components of...

The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of certain parameters. Using the DSGE model...

In this work, we seek to investigate the existence of nonlinearities in the reaction function of the Central Bank of Brazil arising from this policymaker's uncertainties about the effects of the output gap on inflation. Theoretically, we follow Tillmann (2011) to obtain a nonlinear optimal...