ESTE 2023 - Anais

Trabalhos

ESTE 2023 - 67

Long-memory parameter estimation based on fractional spline wavelets

Chang Chiann , Mateus Gonzalez de Freitas Pinto

ESTE 2023 Long-memory Hurst exponent wavelets; splines fractional splines fractional random walk

A Unified Framework for Sequential Parameter Learning with Regularization in State Space Models

Uriel Moreira Silva

ESTE 2023 Bayesian inference; Sequential Monte Carlo methods; State space models

Comparative analysis between Singular Spectral Analysis and Empirical Mode Decomposition for Structural Damage Detection

ELISA CAROLINA GONZALEZ SANTACRUZ- IME/USP , GLADYS ELENA SALCEDO ECHEVERRY , LEONARDO CANO

ESTE 2023 Hilbert-Huang Transform Signal Analysis Structural Health Monitoring Time-Frequency Analysis.

WHAT MOVES THE CRYPTOCURRENCY MARKET? A CAUSALITY AND WAVELET COHERENCE ANALYSIS

George Augusto Noronha Morcerf

ESTE 2023 Cryptocurrency; Investors’ Attention; Wavelet Coherence

Bayesian clustering of sparsely observed tensors applied to surface weather data

Felipe Toledo Ferreira

ESTE 2023 Weather data; Spatio-temporal data; Functional data analysis; Functional clustering; MCMC sampling; Variational inference; B-splines

Minimum Distance Estimation of Long-Memory Stochastic Duration Models

Mauricio Zevallos

ESTE 2023 Autocovariance differences high frequency intertrade durations

Robust estimate for counting time series using GLARMA models

ANA JULIA ALVES CAMARA

ESTE 2023 Count time series GLARMA model M-estimators Additive outliers Respiratory diseases Air pollution

Gravitational Effects of Culture on Internal Migration in Brazil

Daisy Assmann Lima , Philipp Ehrl

ESTE 2023 internal migration cultural distance structural gravity model institutions religious diversity

Asymmetric Violations of the Spanning Hypothesis

Gustavo Freire , Raul Guarini Riva

ESTE 2023 Spanning hypothesis; Predictability; Principal Components; Bond Pricing; Forecasting;

Carry trade and the real economy: Switzerland and Brazil got carried away?

Bruno Thiago Tomio

ESTE 2023 carry trade; BGVAR; macro-financial linkages

Mitigating the choice of the duration in DDMS models through a parametric link

Douglas Eduardo Turatti , Fernando Henrique de Paula e Silva Mendes , Guilherme Pumi

ESTE 2023 Duration Dependence Markov-switching model Parametric Link Volatility Forecasting.

A SPACE-TIME MODEL FOR CRIME IN NEIGHBORHOODS OF FORTALEZA: THE INFLUENCE OF COMMON FACTORS AND NEIGHBORHOOD EFFECT

Fabrício Carneiro Linhares , Marcus Vinicius Adriano Araujo

ESTE 2023 spatial patterns; crime concentration; common factors; Fortaleza;

Climate Risk: The impacts of temperature shocks in Brazilian Market

Adriano Barasal Morales , Anton Vrieling , Marcio Poletti Laurini

ESTE 2023 Climate Finance Global Warming Risk Premium Temperature Risk

Estimating implied volatility surfaces using Bayesian splines under shape restrictions

Guilherme Piantino , Márcio Laurini

ESTE 2023 Implicit Volatility Non-parametric Estimation Bayesian Methods Market Expectations

Previsibilidade da Direção do Preço Intradiário do Bitcoin com Modelos de Random Forest

Leandro dos Santos Maciel , Paulo de Castro Rubio Poli

ESTE 2023 Bitcoin Previsão Dados intradiários Random Forest

Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market

Márcio Laurini , Rafaela Dezidério

ESTE 2023 Robust Estimation Risk Premia Asset Pricing Misspecification.

Identifying regime switches through Bayesian wavelet estimation: evidence from flood detection in the Taquari River Valley

Flávia Castro Motta , Michel Helcias Montoril

ESTE 2023 Mixture problem Change-point detection MCMC Wavelets Floods

Modelagem Robusta de Dados de COVID-19 no Brasil

Luciano Mancuso Salomão , Mário Poletti Laurini

ESTE 2023 COVID-19 Brasil Decomposição estrutural Bayesiano INLA

Previsão de Preços de Commodities Agrícolas em Centrais de Abastecimento com RNN-LSTM

Marcio Poletti Laurini , Tiago Oliveira Mota

ESTE 2023 Preços Commodities agrícolas Aprendizado de máquina LSTM

The Effects of Brazilian Central Bank Communication on the Yield Curve

Cássio Roberto de Andrade Alves , Márcio Poletti Laurini

ESTE 2023 Central Bank communication Yield Curve Monetary Policy Bayesian Estimation

Detecção de sinais em séries de pressão de sensores usando ondaletas

Chang Chiann , Leonardo Fonseca Larrubia , Olga Satomi Yoshida

ESTE 2023 ondaletas IoT séries temporais metrologia 4.0

Modelos de series temporais aplicadas nos dados de exportação Brasileira

Melquisadec de Souza Oliveira

ESTE 2023 Arima sazonal Alisamento Exponencial Box Cox Previsão Janela deslizante

Família de modelos dinâmicos DARMA quantílicos

Cleber Bisognin , João Inácio Scrimini

ESTE 2023 Modelo Dinâmico Séries Temporais ARMA Monte Carlo

Feature engineering of an exogenous variable for a viral disease prediction mode

Camila Braz Soares , Gecynalda Soares da Silva Gomes , Jonatas Silva do Espirito Santo , Rodrigo Barbosa de Cerqueira

ESTE 2023 time series ; Feature engineering ; covid-19 ; google trends

COVID-19 E SEUS REFLEXOS SOBRE A VOLATILIDADE DOS ÍNDICES DE AÇÕES DO MERCADO BRASILEIRO

Douglas Marcos Ferreira , Edson Santos Melo , Luiz Henrique Pereira Alves

ESTE 2023 Mercado Acionário Volatilidade Covid-19 Modelo GARCH.

The Burr XII autoregressive moving average model

Fernando Arturo Peña-Ramírez , Fernando José Monteiro de Araújo , Renata Rojas Guerra

ESTE 2023 Asymmetric data Burr XII conditional quantile time series forecast

Univariate and Multivariate Bayesian Latent Factors Decompositions in Spatio-Temporal River Flow Analysis

Fernanda Valente , Márcio Laurini

ESTE 2023 River flow Climate Variability Spatio-temporal models Structural Decomposition

Predição de Alto Custo para direcionar buscas ativas em Atenção Primária Digital dentro do contexto de Saúde Corporativa

Arthur Reys , Dacyara Oliveira , Gregório Rodrigues , Henrique Silva

ESTE 2023 Classificação de risco; Saúde: Predição; Inferência; Alto Custo; Atenção Primária Digital; Saúde Corporativa

Narrativas do Banco Central e Previsões Macroeconômicas: Usando Análise Textual de Machine Learning

Cássio da Nóbrega Besarria , Diego Pitta de Jesus

ESTE 2023 Previsão macroeconômica. Machine learning. Análise textual. Ata do Copom.

OIL PRICE FORECAST: A COMPARISON BETWEEN ARIMA, LSTM AND ARIMA-LSTM MODELS

Cássio da Nóbrega Besarria , Cássio Nunes dos Anjos , Diego Pitta de Jesus , Hyolitta Adrielle Costa de Araújo , Rennan Kertlly de Medeiros

ESTE 2023 Forecasting models; Oil; ARIMA-LSTM.

Political uncertainty intraday: how the stock market reacts

Leonardo Brioschi

ESTE 2023 Asset Pricing Information and Market Efficiency Political Uncertainty.

On the Estimation of Asymmetric Long Memory Stochastic Volatility Models

Mauricio Zevallos , Omar Abbara

ESTE 2023 value-at-risk leverage effect long memory

Risk Budgeting Portfolios from Simulations

Bernardo Freitas Paulo da Costa , Rodrigo Targino , Silvana Pesenti

ESTE 2023 Risk budgeting portfolio allocation investment strategies

Relação de longo prazo entre o retorno do Ibovespa e os índices de confiança

Bruno José Bezerra Silva , Lucas Lúcio Godeiro , Luiz Felipe de Araújo Pontes Girão , Orleans Silva Martins

ESTE 2023 Cointegração. Índices. Incerteza Econômica.

A relação entre os choques de política monetária e as expectativas de inflação de longo-prazo no Brasil

José Marcelo Cardoso de Lima Filho

ESTE 2023 Inflação SVAR Expectativa Restrição de Sinal

A Influência do Sentimento de Notícias, de Tweets e do ChatGPT no Mercado Acionário Brasileiro

Andressa Lemes Proque , Diego Pitta de Jesus , Elvira Helena Oliveira de Medeiros , Lucas Lucio Godeiro

ESTE 2023 Previsão do IBOVESPA; Análise de Sentimentos; twitter; Notícias; ChatGPT; Indicadores Técnicos

Global variable selection for quantile regression

Eduardo Horta , Gabriela Cybis , Tais Bellini

ESTE 2023 Quantile regression Global variable selection Chebyshev polynomials

The effectiveness of fiscal policy in Brazil through the MIDAS Lens

Andreza Aparecida Palma , Renan Alves

ESTE 2023 Fiscal multiplier mixed frequency vector autoregression mixed data sampling Fiscal Policy

Hierarchical spatio-temporal model for interpolation of missing data in satellite image series: The R-INLA approach

Chang Chiann , Vinicius Soares Martins Alves

ESTE 2023 Kriging Remote sensing Spatial statistics Spatio-temporal data Time series Stochastic Partial Differential Equation

Predicting Football Matches Results with PoARX-Copula Models

Flávio A. Ziegelmann , Leonardo Ribeiro Damiani Júnior

ESTE 2023 football results copulas PoARX predictions Premier League

Long Short-Term Memory Time Series Forecasting via Recurrent Neural Networks (RNN)

Antônio Oss Boll , Leticia Maria Puttlitz

ESTE 2023 time series forecasting recurrent neural networks LSTM long-term memory

Impacto das comodities agrícolas essências e agropecuárias no mercado de frango de abate de São Paulo: uma aplicação da correção da matriz residual em um modelo de regressão múltipla

Gabriel Messias Santana Peixoto , Roberta Moreira Wichmann , Rodolfo Pereira Franklin , Tiago Almeida de Oliveira

ESTE 2023 Generalized Least Squares Autocorrelação Pressupostos Comodities agrícolas essências e agropecuárias

Beta regression misspecification tests

Francisco Cribari Neto , José Jairo de Santana e Silva , Klaus Leite Pinto Vasconcellos

ESTE 2023 Beta regression; bootstrap; information matrix test; model misspecification; Monte Carlo simulation

Statistical Process Control for batch processes using a Bayesian VAR model-based control chart

Danilo Marcondes Filho , Gabriela Bettella Cybis , Marcio Valk , Mariana Motta Dias da Silva

ESTE 2023 Multivariate Time Series Batch Process VAR model Control Charts Bayesian VAR Minnesota prior

Robust Local Bootstrap for Weakly Stationary Time Series in the Presence of Additive Outliers

Carlo Solci , Paulo Canas Rodrigues , Valderio Anselmo Reisen

ESTE 2023 Time Series Bootstral Frequency Domain Robstness additive outliers

Otimização de Carteiras com Retornos Não Gaussianos: Uma Abordagem Bayesiana

Edison Américo Huarsaya Tito , Javier Gutiérrez Castro , Lizeth Jacquelin Rodriguez Huarsaya , Luiz Eduardo Teixeira Brandão

ESTE 2023 Teoria Moderna de Carteiras Alocação de Ativos Medida Ômega Estatística Frequentista Estatística Bayesiana Mudanças de Regime Quebras Estruturais.

Machine Learning Methods and Time Series: a Through Comparison Study via Simulation and U.S. Inflation Forecasting

Flavio A. Ziegelmann , Klaus Boesch

ESTE 2023 Time series Machine learning WLadaENet Forecasting Inflation

Revisiting Volatility Tail Codependency in Cryptocurrency Markets

João Pedro Malim Franco , Pedro Luiz Paolino Chaim

ESTE 2023 Bitcoin Cryptocurrencies Tail-Risk Safe Haven CoVaR

Price Dynamics in Centralized and Decentralized Exchanges

Pedro Luiz Paolino Chaim , Pedro Magalhães Alves

ESTE 2023 Blockchain Finance Decentralized Finance Exchanges Decentralized Exchanges

Protecionismo Comercial: Os efeitos da Guerra Comercial EUA-China sobre as Exportações Brasileiras

Conrado Mallmman , Dieison Casagrande , Paulo Feistel

ESTE 2023 Guerra Comercial EUA-China; Exportações; Comércio Brasil-China

ASYMPTOTIC DISTRIBUTION FOR CONDITIONAL MODE ESTIMATOR VIA SMOOTHED QUANTILE REGRESSION

Eduardo de Oliveira Horta , Eduardo Schirmer Finn

ESTE 2023 Quantile Regression; Conditional Mode; Asymptotic Theory

Dynamic copula with many exogenous variables meets the Horseshoe

Hedibert Freitas Lopes , Igor Martins

ESTE 2023 Dynamic Copula Sparsity Hamiltonian Monte Carlo

Autoregressive and moving average models for time series in the unit interval based on the Reflected Unit Burr XII distribution

Airlane P. Alencar , Fábio M. Bayer , Fernando A. Peña-Ramírez , Renata Rojas Guerra , Tatiane Fontana Ribeiro

ESTE 2023 Forecasts dynamical model rates and proportions unit regression models.

A multivariate approach for correcting reporting delays in infectious disease surveillance

Guilherme dos Santos , Kelly Cristina Mota Gonçalves , Leonardo Soares Bastos

ESTE 2023 Nowcasting Dengue Chikungunya INLA Bayesian hierarchical model

Forecasting the yield curve: the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macro-economic factors

André Portela Santos , Esther Ruiz Ortega , João Frois Caldeira , Werley da Costa Cordeiro

ESTE 2023 Dynamic Nelson-Siegel-Svensson model Time-varying decay parameter Term Structure Extended Kalman filter

Rationality and Instability in Professional Forecasting: Exploring the Impact of Key Variables

Diogo de Prince , Emerson Fernandes Marçal , Pedro L. Valls Pereira

ESTE 2023 Rationality Forecast Inflation

What news and social media tell us about future inflation?

Gilberto Boaretto , Marcelo C. Medeiros , Marcelo Fernandes , Thiago Milagres

ESTE 2023 inflation forecasting; unstructured data; Twitter; newspapers; elastic net; adaLASSO.

Robust Forecasting of Value-at-Risk and Expected Shortfall with Markov-Switching GARCH Models

Jean S. M. Diniz , Luiz K. Hotta

ESTE 2023 Robust statistical methods Volatility models Hidden Markov models Outliers Value at risk

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios

Carlos Trucíos

ESTE 2023 Forecasting Value-at-Risk Expected Shortfall

HIGH-DIMENSIONAL LINEAR PROCESSES WITH DEPENDENT INNOVATIONS

Eduardo Mendes

ESTE 2023 HIGH-DIMENSIONAL ECONOMETRICS LINEAR PROCESSES DEPENDENT INNOVATIONS

Predicting Electricity Prices in the Brazilian Market by Stochastic Differential Equations

Vinícius Albani

ESTE 2023 Electricity Prices Stochastic Differential Equations

Weighted U–statistics for absolutely regular processes with applications to time series and other dependent sequences

Aluísio Pinheiro , Rodney Fonseca

ESTE 2023 Wavelets

Bayesian estimation of mixture regression by wavelets

Flávia C. Motta , Michel H. Montoril

ESTE 2023 Wavelets

Clustering and classification by wavelets

Brani Vidakovic , Chang Chiann , João Sato , Pedro Morettin

ESTE 2023 Wavelets

What events matter for exchange rate volatility?

Hedibert Freitas Lopes , Igor Martins

ESTE 2023 Exchange rate

Unbiased estimation of near-root autoregressive models

Wilfredo Palma

ESTE 2023 Nonlinear models

Efficient Fitting of Stochastic Volatility Models

David Stoffer

ESTE 2023 Stochastic Volatility

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