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 ...

This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian Consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data over twelve ...

We estimate versions of the Nelson-Siegel model of the yield curve of US government bonds using a Markov switching latent variable model that allows for discrete changes in the stochastic process followed by the interest ...

This work assesses the forecasts of three nonlinear methods | Markov Switching Autoregressive Model, Logistic Smooth Transition Auto-regressive Model, and Auto-metrics with Dummy Saturation | for the Brazilian monthly ...