We propose a new multivariate model to capture the presence of jumps in mean and conditional variance in the returns of oil prices and companies in this sector. The model is based on the presence of common factors associated with jumps in mean and variance, as it performs a decomposition of the...

In this article we model the inflationary inertia in Brazil, as measured by the monthly series of IPCA (Aggregate Consumer Prices Index), for the period of inflationary transition from August of 1994 until January of 2003. The concept of inflationary inertia is defined as the value of the first...