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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

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

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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

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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

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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

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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

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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

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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

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Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach

Hallin, Marc; Trucíos, Carlos - 2021

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies. Unfortunately, due to the curse of...

Persistent link: https://www.econbiz.de/10013242339