This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and ...

The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model ...

In this paper, we introduce a Markovian approach to study the stability and growth of citations in academic journals by featuring a regime-switching analysis. We characterize the regime structure exhibited by the series ...

The goal of this paper is to identify the occurrence, duration and transition probabilities of different monetary policy regimes in Brazil since the implementation of the inflation-targeting regime in 1999. To estimate the ...

O presente trabalho desenvolve quatro modelos DSGE com Markov-switching, usando uma variedade de fricções sob diferentes regimes de política monetária e fiscal. Estimam-se multiplicadores fiscais para os Estados Unidos e ...