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

Adrian Pizzinga, Luciano Vereda, Rodrigo Atherino and Cristiano Fernandes
Authors registered in the RePEc Author Service: Luciano Vereda Oliveira

Applied Stochastic Models in Business and Industry, 2008, vol. 24, issue 1, 3-12

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.

Date: 2008
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https://doi.org/10.1002/asmb.688

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:24:y:2008:i:1:p:3-12

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