Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds

  • Authors:

  • Adrian Pizzinga;Luciano Vereda;Rodrigo Atherino;Cristiano Fernandes

  • Affiliations:

  • (Doctorate Student) Department of Electrical Engineering of Catholic University of Rio de Janeiro, Rio de Janeiro, Brazil;(Assistant Professor) Financial and Actuarial Risk Management Institute of Catholic University of Rio de Janeiro (IAPUC), Rio de Janeiro, Brazil;(Doctorate Student) Department of Electrical Engineering of Catholic University of Rio de Janeiro, Rio de Janeiro, Brazil;(Assistant Professor) Department of Electrical Engineering of Catholic University of Rio de Janeiro, Rio de Janeiro, Brazil and Financial and Actuarial Risk Management Institute of Catholic Univer ...

  • Venue:
  • Applied Stochastic Models in Business and Industry
  • Year:
  • 2008

Quantified Score

Hi-index 0.00

Visualization

Abstract

This paper deals with restricted linear state space models for dynamic style analysis with time-varying selectivity measurement. Implementation and interpretation of the models are pertinently discussed. Empirical contributions lie on the understanding of how managers of Brazilian US Dollar-Real exchange-rate funds behaved along 2001 and 2002, a period of some political turbulence especially due to the 2002 Brazilian presidential election. Copyright © 2007 John Wiley & Sons, Ltd.