We examine the evidence of contagion during the pre World War I era and the interwar and contrast our findings with the evidence of contagion from the recent crises in Asia and Latin America. Using we
Vector autoregressive (VAR) models are popularly adopted for modeling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modeling, the number
This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary se
Contains datasets and codes used for empirical analysis in the paper "Predicting Equity Risk Premium: Conditioning Forecasts on Economic Uncertainty". Also contains a README pdf file that provides a s
Resultados dos modelos VAR criados para determinação do efeito overconfidence, e influência do S&P500 e WTI no retorno das ações da Exxon, Chevron, EOG, Conoco e Diamondback