This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The first one is a Vector Autoregressive Model with Error...

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. An econometrics model is estimated and is a Vector Autoregressive Model with Error Correction...

Economic forecasting during structural breaks is challenging due to the possible systematic failure of existent models. Robust forecast devices are able to provide unbiased forecasts just after structural change but at the cost of higher variance in normal times. Reinforcement learning (RL)...