Related papers: Decomposition of Brazil's 5-year DI Futures in Bas…
This paper proposes a two-step empirical framework to study the repricing of the Brazilian DI curve around Copom-related events. The empirical strategy separates the initial market reaction associated with the underlying shock from the…
The main objective of this paper is to Identify which macroe conomic factors and industrial indexes influenced the total Brazilian banking spread between March 2011 and March 2015. This paper considers subclassification of industrial…
This study analysed a series of live cattle spot and futures prices from the Boi Gordo Index (BGI) in Brazil. The objective was to develop a model that best portrays this commodity's behaviour to estimate futures prices more accurately. The…
This data paper describes METBRA25Y, a harmonized archive of hourly surface meteorological observations from Brazil derived from public historical records of the Instituto Nacional de Meteorologia (INMET). The dataset was designed to…
During the last years, the new science of municipalities has been established as a fertile quantitative approach to systematically understand the urban phenomena. One of its main pillars is the proposition that urban systems display…
This paper uses predictive densities obtained via mixed causal-noncausal autoregressive models to evaluate the statistical sustainability of Brazilian inflation targeting system with the tolerance bounds. The probabilities give an…
We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the…
We present a statistical model which is able to capture some interesting features exhibited in the Brazilian test. The model is based on breakable elements which break when the force experienced by the elements exceed their own load…
The purpose of this paper is to calculate the risk-dependent centrality (RDC) of the Brazilian stock market. We computed the RDC for assets traded on the Brazilian stock market between January 2008 to June 2020 at different levels of…
This paper proposes a public daily-frequency benchmark for post-GFC government-bond CIP deviations. Although CIP deviations are observed daily, the literature lacks a canonical benchmark for daily regressions comparable to standard factor…
This paper reviews background and examples of Bayesian predictive synthesis (BPS), and develops details in a subset of BPS mixture models. BPS expands on standard Bayesian model uncertainty analysis for model mixing to provide a broader…
We introduce a new approach for decoupling trends (drift) and changepoints (shifts) in time series. Our locally adaptive model-based approach for robustly decoupling combines Bayesian trend filtering and machine learning based…
With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of ten pairwise combinations of the five BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily…
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring the detailed paths. Continuous-time decompositions avoid this…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads…
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates…
This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities,…
This paper exploits the decomposition structure of the large-scale hydrothermal generation expansion planning problem with an integrated modified Benders Decomposition and Progressive Hedging approach. We consider detailed and realistic…
We propose a diffusion process to describe the global dynamic evolution of credit operations at a national level given observed operations at a subnational level in a sovereign country. Empirical analysis with a unique dataset from…
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency.…