Testing the Hypothesis of Contagion using Multivariate Volatility Models

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesisContagion, Multivariate Volatility Models

Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change

This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number of cointegrated vector are assumed to be known. The estimated model has four regimes. Only three of them are statistically different. The first starts at the beginning of the sample and goes until September of 1997. The second starts at October of 1997 until December of 1998. The third starts at January of 1999 and goes until the end of the sample. It is used monthly data. Models that allows for some similarities across the regimes are also estimated and tested. The models are estimated using the Generalized Reduced-Rank Regressions developed by Hansen (2003). All imposed restrictions can be tested using likelihood ratio test with standard asymptotic qui-squared distribution. The results of the paper show evidence in favor of the long run implications of the expectation hypothesis for Brazil.Term structure, cointegration, structural change

A survey on power grid faults and their origins: A contribution to improving power grid resilience

UID/EEA/00066/2019One of the most critical infrastructures in the world is electrical power grids (EPGs). New threats affecting EPGs, and their different consequences, are analyzed in this survey along with different approaches that can be taken to prevent or minimize those consequences, thus improving EPG resilience. The necessity for electrical power systems to become resilient to such events is becoming compelling; indeed, it is important to understand the origins and consequences of faults. This survey provides an analysis of different types of faults and their respective causes, showing which ones are more reported in the literature. As a result of the analysis performed, it was possible to identify four clusters concerning mitigation approaches, as well as to correlate them with the four different states of the electrical power system resilience curve.publishe

Evaluating the existence of structural change in the Brazilian term structure of interest rate: evidence based on Hansens cointegration models with structural break

This paper investigates whether there is evidence of struc- tural change in the Brazilian term structure of interest rates. Multivari- ate cointegration techniques are used to verify this evidence. An econo- metric model is estimated which is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using the tech- nique for both databases. The risk premium for dierent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to international stand- ards, although the Brazilian term structure is still subject to liquidity problems for longer maturities

Testing the contagion hypotheses using multivariate volatility models

This aim of this paper is to test whether or not there was evidence of financial crises ‘contagion’. The sovereignty debt bonds data for Brazil, Mexico, Russia and Argentine were used to implement such test. The ‘contagion’ hypothesis is tested using multivariate volatility models. It’s considered evidence in favor of ‘contagion’ hypothesis if there is indication of structural instability that can be linked in any sense to one financial crisis. The result suggests that there is evidence in favor of ‘contagion’ hypothesisContagion; Multivariate Volatility Models