In this paper, output gaps that include financial cycle information are evaluated against
policy analysis models used by the Colombian central bank. This is an important feature …

Atendendo à motivação central do presente trabalho, que visa entender e, se possível,
contornar alguns dos desafios que se colocam aquando da previsão de séries temporais …

This thesis focuses on the role investor type and sentiment play in financial markets, using
data from social media. First paper investigates the effect of the interaction between asset …

This study examines whether a heterogeneous agents model (HAM) can explain the
fluctuations of the USD/Euro exchange rate in the short run. Assumed in this study is that …

In his stimulating article on the reasons for two puzzling observations about the behaviour of
interest rates, exchange rates and the rate of inflation, Charles Engel (2016) puts forward an …

This thesis aims to investigate the exchange rate behaviour and its abnormal movements.
By doing so, I introduce a novel instrument which contributes to analyse the exchange rate …

Este artigo estima via componentes principais uma série temporal para o Fator Estocástico
de Desconto contendo informações sobre os retornos de fundos cambiais e de renda fixa …

This chapter investigates the behavior of Reddit's news subreddit users and the relationship
between their sentiment on exchange rates. Using graphical models and natural language …

In my thesis, I use different machine learning techniques to predict the directional change in
exchange rates. I start off by analyzing Uncovered Interest Rate Parity (UIP) and its failure to …

The asset pricing behavior around Rate Decision of The Central Bank is both an important
and interesting Economic phenomenon. Predicting the direction and level of asset prices are …