Doutoramento em Matemática Aplicada à Economia e à GestãoThis Dissertation consists of three independent papers on econometrics, having in common the fact that each of them proposes a new methodology to deal with issues caused by the departure from linearity and gaussianity assumptions. We start by introducing a simple and easy to implement procedure to test for multiple structural changes in persistence. An in-depth Monte Carlo analysis shows that the new procedure performs well under various DGPs with persistence changes. The application of the proposed test to OECD countries inflation reveals relevant statistical evidence of breaks in persistence for all countries. Overall, the persistence was high and non-mean-reverting until the early 80’s and subsequently decreased, which coincides with the beginning of the Great Moderation. Then, the second paper introduce a flexible framework able to capture some aspects of the potential nonlinear causal relationships between economic variables. More precisely, the proposed procedure estimates the expected time (ET) an outcome variable takes to cross a fixed threshold given a starting value and conditional on covariates. An application to the economic activity-yield spread relationship for the U.S. suggests that the yield spread may have an important role in stimulating a faster return to desirable growth rates when the economy is in contraction or faces weak growth. Moreover, negative yield spread values in the presence of positive and high industrial production growth rates leads to a quick return to negative growth rates and may trigger a recession. Finally, the third paper proposes a simple framework that allows us to take into account the magnitude of potential losses incurred throughout the investment horizon, denoted intra-horizon risk, in portfolio optimization. To this end, we introduce a novel nonparametric method to estimate the first passage probability function that only make use of the Markovian property of the returns. An empirical application is provided considering equity, bond and commodity Exchange Traded funds (ETFs). Our results suggest that the proposed framework indicates portfolios with lower expected time to reach the target return than those indicated by the Markowitz’ mean-variance approach with similar levels of intra-horizon risk, which may result in higher expected annualized return if the lower threshold that triggers a stop-loss decision is not crossed.info:eu-repo/semantics/publishedVersio
