3 documents found, page 1 of 1
Time-varying covariance structures in currency markets
Lopes, Hedibert FreitasIn this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in ass...
Comovements and contagion in emergent markets: stock indexes volatilities
Lopes, Hedibert FreitasThe past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,'e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In thi...
Bayesian analysis of extreme events with threshold estimation
Lopes, Hedibert Freitas; Assunção, Cibele Noronha Behrens; Gamerman, DaniThe aim of this paper is to analyze extremal events using Generalized Pareto Distributions (GPD), considering explicitly the uncertainty about the threshold. Current practice empirically determines this quantity and proceeds by estimating the GPD parameters based on data beyond it, discarding all the information available be10w the threshold. We introduce a mixture model that combines a parametric form for the ...