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Novas publicações

  • The revealed social welfare function: USA x Brazil 

    Mattos, Enlinson (Sociedade Brasileira de Econometria, 2008-11-01)
    This paper proposes the use of the optimal nonlinear tax formula to derive the social welfare function of policymakers. In particular, it uses PSID and PNAD for 1990 to estimate the implicit social welfare functions ...
  • Comparing value-at-risk methodologies 

    Lima, Luiz Renato; Néri, Breno Pinheiro (Sociedade Brasileira de Econometria, 2007-05-01)
    In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that ...
  • Pricing and modeling credit derivatives 

    Akat, Muzaffer; Almeida, Caio; Papanicolaou, George (Sociedade Brasileira de Econometria, 2007-05-01)
    The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the ...
  • Testing the hypothesis of contagion using multivariate volatility models 

    Marçal, Emerson Fernandes; Pereira, Pedro L. Valls (Sociedade Brasileira de Econometria, 2008-11-01)
    The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ...
  • Extracting default probabilities from sovereign bonds 

    Meres, Bernardo; Almeida, Caio (Sociedade Brasileira de Econometria, 2008-05-01)
    Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there are numerous measures aiming to identify the way risk is perceived by market participants. In such environment, probabilities ...
  • Earnings inequality in Brazil: is it permanent or transitory? 

    Santos, Antonio Loureiro; Souza, André Portela (Sociedade Brasileira de Econometria, 2007-11-01)
    This paper seeks to analyze the dynamic behavior of prime-age male workers’ earnings inequality in the formal labor market of the State of S˜ao Paulo in the years 1990-1998. The aim is to fit an econometric model of unobserved ...
  • The trade-off between incentives and endogenous risk 

    Araujo, Aloisio; Moreira, Humberto; Tsuchida, Marcos (Sociedade Brasileira de Econometria, 2007-11-01)
    Negative relationship between risk and incentives, predicted by standard moral hazard models, has not been confirmed by empirical work. We propose a moral hazard model in which heterogeneous risk-averse agents can control ...
  • Determinants of the differential pricing between voting and non-voting shares in Brazil 

    Saito, Richard (Sociedade Brasileira de Econometria, 2003-05-01)
    Several papers suggest that private benefits can explain the differential pricing between share classes with differential voting rights. However, in Brazil the price differential between voting and non-voting shares has ...
  • Hyperinflation: inflation tax and economic policy regime 

    Barbosa, Fernando De Holanda (Sociedade Brasileira de Econometria, 2002-11-02)
    This paper shows that price level indeterminacy in monetary models with multiple equilibria can be solved by the selection of an appropriate monetary policy regime, according to the demand elasticity of the real quantity ...
  • An analysis of quit and dismissal determinants between 1988 and 1999 using the bivariate probit model 

    Orellano, Veronica I. F.; Picchetti, Paulo (Sociedade Brasileira de Econometria, 2005-05-01)
    Excessive labor turnover may be considered, to a great extent, an undesirable feature of a given economy. This follows from considerations such as underinvestment in human capital by firms. Understanding the determinants ...
  • Using spatial covariance function for antitrust market delineation 

    Lucinda, Claudio R.; Filho, Arthur Barrionuevo (Sociedade Brasileira de Econometria, 2009-05-01)
    In this paper, an estimation of a Spatial Covariance Function was proposed for determining the relevant geographic market for a merger. This methodology was applied to a proposed merger between two competing Brazilian ...
  • Dynamic hedging with stochastic differential utility 

    Bueno, Rodrigo De Losso Da Silveira (Sociedade Brasileira de Econometria, 2006-11-01)
    In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and a new utility transformation which includes features from the two ...
  • Risk regulation in Brazil: a general equilibrium model 

    Araújo, Aloísio Pessoa; Vicente, José Valentim M. (Sociedade Brasileira de Econometria, 2006-05-01)
    In the last few years, regulating agencies of many countries, following recommendations of the Basel Committee on Banking Supervision, have compelled financial institutions to maintain minimum capital requirements to cover ...
  • On the statistical estimation of diffusion processes: a partial survey 

    Cysne, Rubens Penha (Sociedade Brasileira de Econometria, 2004-11-02)
    Data available on continuous-time diffusions are always sampled discretely in time. In most cases, the likelihood function of the observations is not directly computable. This survey covers a sample of the statistical ...
  • Estimating relative risk aversion, the discount rate, and the intertemporal elasticity of substitution in consumption for Brazil using three types of utility function 

    Issler, João Victor; Piqueira, Natalia Scotto (Sociedade Brasileira de Econometria, 2000-11-02)
    Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the ...
  • Cournot competition under Knightian uncertainty 

    Boff, Hugo Pedro; Werlang, Sergio Ribeiro Da Costa (Sociedade Brasileira de Econometria, 1998-11-02)
    This article applies a theorem of Nash equilibrium under uncertainty (Dow & Werlang, 1994) to the classic Cournot model of oligopolistic competition. It shows, in particular, how one can map all Cournot-Nash equilibria ...
  • Are one-sided S,s rules useful proxies for optimal pricing rules? 

    Bonomo, Marco (Sociedade Brasileira de Econometria, 2000-05-01)
    This article is motivated by the prominence of one-sided S,s rules in the literature and by the unrealistic strict conditions necessary for their optimality. IT aims to assess whether one-sided pricing rules could be an ...
  • Estimating and forecasting the volatility of Brazilian finance series using arch models 

    Issler, João Victor (Sociedade Brasileira de Econometria, 1999-05-01)
    The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian financial series using models of the ARCH class. Selected models are then compared regarding ...
  • Sustainable clubs under variable participation 

    Menezes, Flavio M.; Silva, Emilson C. D. (Sociedade Brasileira de Econometria, 1999-11-02)
    In this paper we examine a two-period static club economy where individuals of distinct types decide whether or not to subscribe to clubs at each period. We show that neither facility sizes nor consumption group sizes are ...
  • Auctions of identical objects with single-unit demands: a survey 

    Menezes, Flavio (Sociedade Brasileira de Econometria, 1998-11-02)
    The theory of auctions of a single object generalizes to a situation where identical objects are sold either sequentially or simultaneously but individuals can only buy one object. In this context, I will present a survey ...

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