This article provides an analysis of empirical microstructure for the BRL/US$ exchange rate market using high-frequency bid and ask quote data. The aims of the article are to verify the importance of the presence of asymmetric information in price dynamics, to build a model for the price...

The literature on monetary economy has aroused growing interest in macroeconomics. Due to computational advancements, models have become increasingly more complex and accurate, allowing for an in-depth analysis of the relationships between real economic variables and nominal variables....

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...

We introduce a new multivariate stochastic volatility model, based on the presence of a latent common factor with random jumps. The common factor is parameterized as a permanent component using a compound binomial process. This model can capture common jumps in the latent volatilities between...

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 article we discuss the estimation of continuous time interest rate models driven by fractional Brownian motion (fBm) using discretely sampled data. In the presence of a fractional Brownian motion, usual estimation methods for continuous time models are not appropriate since in general...

This paper presents new evidence on the role of cognitive skills in promoting economic growth rate, using a within country dataset (Brazilian municipalities’ dataset) and nonparametric kernel regression estimation with mixed data.

In this article, we introduce a new method for modelling curves with dynamic structures, using a non-parametric approach formulated as a state space model. The non-parametric approach is based on the use of penalised splines, represented as a dynamic mixed model. This formulation can capture the...