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Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534

Persistent link: https://www.econbiz.de/10013274311

An analysis of contagion among Asian countries using the canonical model of contagion

Ribeiro, André L. P.; Hotta, Luiz K. - In: International review of financial analysis 29 (2013), pp. 62-69

Persistent link: https://www.econbiz.de/10010244127

Paridade do Poder de Compra : testando dados Brasileiros

Marçal, Emerson Fernandes; Pereira, Pedro L. Valls; … - In: Revista brasileira de economia : RBE ; revista da … 57 (2003) 1, pp. 159-190

Persistent link: https://www.econbiz.de/10001810445

Tendência estocástica do produto no Brasil : efeitos das flutuações da taxa de crescimento da produtividade e da taxa de juro real

Lima, Elcyon Caiado Rocha - In: Pesquisa e planejamento econômico : PPE 25 (1995) 2, pp. 249-278

Depois do crescimento acelerado e continuo dos anos 70, a economia brasileira passou, na decada seguinte, por um periodo de grande instabilidade na sua taxa anual de crescimento. Este artigo investiga em que medida os periodos de estagnacao e expansao da economia do pais podem ser explicados por...

Persistent link: https://www.econbiz.de/10015160718

Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

Marçal, Emerson Fernandes; Pereira, Pedro L. Valls; … - In: Applied economics 43 (2011) 19/21, pp. 2365-2379

Persistent link: https://www.econbiz.de/10009379734

Modeling and forecasting realized volatility : evidence from Brazil

Wink Junior, Marcos Vinicio; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 2, pp. 315-337

Persistent link: https://www.econbiz.de/10010402885

Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Rotta, Pedro Nielsen; Pereira, Pedro L. Valls - In: Applied economics 48 (2016) 25/27, pp. 2367-2382

Persistent link: https://www.econbiz.de/10011590996

Testing the hypothesis of contagion using multivariate volatility models

Marçal, Emerson Fernandes; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : the review of the … 28 (2008) 2, pp. 191-216

Persistent link: https://www.econbiz.de/10009627811

Dynamic D-vine copula model with applications to Value-at-Risk (VaR)

Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: Journal of time series econometrics 11 (2019) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012022874

Are Professional Forecasters Rational? Evidence for Brazilian Dataset

de Prince, Diogo - 2020

We test forecast rationality for Brazilian inflation using Survey of Professional Forecasters (SPF) for each month. We consider panel data traditional tests as Mincer and Zarnowitz (1969) and West and McCracken (1998) to verify if forecast errors have zero mean and are uncorrelated with the...

Persistent link: https://www.econbiz.de/10012840588