Paulo M M Rodrigues
Biographic Data
| ID | 6306210 |
|---|---|
| NAME | Paulo M M Rodrigues |
| GIVEN NAMES | Paulo M M |
| FAMILY NAME | Rodrigues |
| SIGNATURE | RODRIGUES P M M |
| AFFILIATIONS | Banco de Portugal |
| ORCID | 0000-0002-6469-4959 |
| VERIFIED | Yes |
| TOTAL WORKS | 8 |
| TOTAL CITATIONS | 2 |
| WORKS AS AUTHOR | 8 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2015 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 1 |
Large‐Dimensional Cointegrated Threshold Factor Models
In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which becomes active only when deviations from equilibrium exceed an inaction threshold. Monte Carlo simulatio…
The stability of government bond markets’ equilibrium and the interdependence of lending rates
In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091–1111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Ch…
Tests for segmented cointegration
Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the Lagrange multiplier principle to a feasible generalised least squares estimate of the FIVAR model obtained under the null hypothesis. A key feature of the test we propose is that it is constructed using a heteroskedasticity‐robust estimate of the variance matrix. As a resul…
A Re‐Examination of Inflation Persistence Dynamics in OECD Countries
This paper introduces a simple and easy to implement procedure to test for changes in persistence. The time‐varying parameter that characterizes persistence changes under the alternative hypothesis is approximated by a parsimonious cosine function. The new test is the minimum of a t ‐statistic computed from a test regression that considers a set of reasonable values for a frequency term that is used to evaluate the time‐varying properties of pers…
A New Regression-Based Tail Index Estimator
A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it …
Monitoring tourism flows and destination management
Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
This article investigates several crucial issues that arise when modeling equity returns with stochastic variance. (i) Does the model need to include jumps even when using a nonaffine variance specification? We find that jump models clearly outperform pure stochastic volatility models. (ii) How do affine variance specifications perform when compared to nonaffine models in a jump diffusion setup? We find that nonaffine specifications outperform af…
Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
This article investigates several crucial issues that arise when modeling equity returns with stochastic variance. (i) Does the model need to include jumps even when using a nonaffine variance specification? We find that jump models clearly outperform pure stochastic volatility models. (ii) How do affine variance specifications perform when compared to nonaffine models in a jump diffusion setup? We find that nonaffine specifications outperform af…
Monitoring tourism flows and destination management
A New Regression-Based Tail Index Estimator
A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it …
Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the Lagrange multiplier principle to a feasible generalised least squares estimate of the FIVAR model obtained under the null hypothesis. A key feature of the test we propose is that it is constructed using a heteroskedasticity‐robust estimate of the variance matrix. As a resul…
A Re‐Examination of Inflation Persistence Dynamics in OECD Countries
This paper introduces a simple and easy to implement procedure to test for changes in persistence. The time‐varying parameter that characterizes persistence changes under the alternative hypothesis is approximated by a parsimonious cosine function. The new test is the minimum of a t ‐statistic computed from a test regression that considers a set of reasonable values for a frequency term that is used to evaluate the time‐varying properties of pers…
Tests for segmented cointegration
The stability of government bond markets’ equilibrium and the interdependence of lending rates
In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091–1111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Ch…
Large‐Dimensional Cointegrated Threshold Factor Models
In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which becomes active only when deviations from equilibrium exceed an inaction threshold. Monte Carlo simulatio…
Econometrics (6 works) · Economics (6 works) · Mathematics (5 works) · Monetary Policy and Economic Impact (4 works) · Cointegration (3 works) · Complex Systems and Time Series Analysis (3 works) · Financial Risk and Volatility Modeling (3 works) · Computer Science (2 works) · Debt (2 works) · Estimator (2 works)