RSS 1.0FGV EPGE - Pesquisa e Conhecimento Aplicado
FGV EPGE - Pesquisa e Conhecimento Aplicado
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Does curvature enhance forecasting?
2008In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rates. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor ... -
Approximating risk premium on a parametric arbitrage-free term structure model
2014In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids full optimization ... -
Pricing options embedded in debentures with credit risk
2015In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ... -
Option pricing under multiscale stochastic volatility
2015The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ... -
Bright minds, big rent: gentrification and the rising returns to skill
2015-11In 1980, housing prices in the main US cities rose with distance to the city center. By 2010, that relationship had reversed. We propose that this development can be traced to greater labor supply of high-income households ... -
Estimating Brazilian monthly GDP: a state-space approach
2015-07-10This paper has several original contributions. The rst is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, ... -
As fontes do atraso e das flutuações cíclicas brasileiras
2015-07-10O objetivo deste artigo é identificar as fontes de crescimento de longo prazo e dos movimentos cíclicos do produto na economia brasileira. Buscamos entender as fontes de atraso da economia brasileira e os determinantes dos ... -
Duros Desafios à Frente
2014-12-17 -
The long term effects of Bolsa Família on child labour and school enrolment
2015-05-14In this paper we study the e ects of conditional cash transfers in school enrolment and tackling child labour. We develop a dynamic heterogeneous agent general equilibrium model, where households face a set of tradeo s ... -
Apresentação 6: Produção de pesquisa e impacto na sociedade – Os casos dos Projetos 'Democracia digital', 'Impactos de grandes empreendimentos' e 'Indicadores do estado de direito'
2015Este estudo investiga os desafios e oportunidades do licenciamento ambiental de grandes empreendimentos
