Essays on efficiency, cointegration, common factors, nonlinearities in the variance in the financial markets: A study about interest rate term structure and the volatility of sovereign bonds. / Ensaios sobre eficiência, cointegração, componentes comuns, não linearidades na variância nos mercados financeiros: um estudo da estrutura a termo das taxas de juros e da volatilidade de títulos da dívida soberana.

AUTOR(ES)

Emerson Fernandes Marçal

DATA DE PUBLICAÇÃO

2004

RESUMO

The thesis is composed by two empirical studies. In the first it’s analyzed the proprieties of the interest rate term structure and, in particular, it’s investigated whether or not the expectation hypothesis is a good description of Brazilian and American data. The results are better for American data. In the second study it’s investigated the sovereign debt bonds volatility of four countries – Brazil, Mexico, Russia and Argentine. The volatility was analyzed by the estimation of multivariate GARCH models. The existence of financial crises contagion was investigated and tested. There is some evidence in favor of the contagion hypothesis.

ASSUNTO(S)

efficiency cointegration contagion nonlinearities contágio volatilidade não linearidades eficiência componentes comuns volatility cointegração common factors

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