Congressos / RP
Congressos / RP
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Implied volatility smirk in Lévy markets
2016We introduce skewed L evy models, characterized by a symmetric jump measure multiplied by dumping exponential factor. This models exhibit a clear implied volatility pattern, where the dumping parameter controls the skew ... -
Inference in differences-in-differences with few treated groups and heteroskedasticity
2016We show that the usual inference methods used in Di fferences-in-Di fferences (DID) might not perform well with few treated groups and heteroskedastic errors. One important example is when there is variation in the number ... -
Sorting in higher education in Brazil
2016This paper investigates students sorting in higher education in Brazil based on three merged databases: (i) the National Household Sample Survey (PNAD/IBGE), (ii) the National Exam of Student Performance (ENADE), and (iii) ... -
Substitution effects in private debt: evidence from SMEs
2016The external finance of small- and medium-sized enterprises (SMEs) is limited to private debt such as bank credit and trade credit. SMEs generally prefer bank credit over trade credit because the former tends to be less ... -
Back to the future of alternative banks and patient capital
2016This paper explores how savings banks, cooperative banks, and development banks were founded as social reactions of self-defense in the 19th century, accumulated patient capital but suffered political capture in the early ... -
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 ... -
International competition and labor market adjustment
2016How does welfare change in the short- and long-run in high wage countries when integrating with low wage economies like China? Even if consumers benefit from lower prices, there can be significant welfare losses from ... -
Bailout policies, bank competition and bank risk-taking in crisis periods
2016This paper analyzes the impact of government bailout policies on the risk of the banking sector in OECD countries between 2005 and 2013. We use the 2007-2008 financial crisis as an exogenous source of change in bailout ... -
Governance formation process in Nongovernmental Organization (NGO): context, history and emergent factors
2016In a previous study we developed a taxonomy proposal to classify models and governance mechanisms used by the Nongovernmental Organizations (NGO) in Brazil, considering the collective decision making process, strategic ... -
Functional itô calculus, path-dependence and the computation of greeks
2015Dupire’s functional Itˆo calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we ... -
Capital cities, conflict, and misgovernance: theory and evidence
2014We investigate the links between capital cities, conflict, and the quality of governance, starting from the assumption that incumbent elites are constrained by the threat of insurrection, and that this threat is rendered ... -
Taxation of couples: a mirrleesian approach for non-unitary households
2016-07-02Optimal tax theory in the Mirrlees’ (1971) tradition implicitly relies on the assumption that all agents are single or that couples may be treated as individuals, despite accumulating evidence against this view of household ... -
Revisiting the synthetic control estimator
2016-06-16VERSÃO ATUALIZADA DE ABRIL DE 2018 DISPONÍVEL. -
This insubstantial pageant: de-historicizing Shakespeare in Brazil
2016This seminar invites us to discuss Shakespeare and his culture on the stage and on the page. -
A Racionalidade jurídica da Corte Interamericana de Direitos Humanos no caso Gomes Lund e outros VS Brasil
2015Even after thirty years of continuous struggles to consolidate Brazilian democracy, the subject of transitional justice still remains alit in our legal debate. Currently we face a juridical insecurity regarding the validity ... -
Governança da internet no espaço regulatório global: o idiossincrático modelo de gestão da ICANN
2015This paper aims to analyze and describe the institutional evolution of the Internet Corporation for Assigned Names and Numbers (ICANN), an organization responsible for the management of domain names and Internet communications ... -
Redes sociais e democracia deliberativa
2015This paper intends to connect general aspects of deliberative democracy theories to specific mechanisms available to social network users. We demonstrate which social network tools foster the constitution of a public sphere ... -
Justiça restaurativa: um modelo democrático de reforma institucional?
2015This article aims to reflect on restorative justice as a possible paradigm of institutional reform in the Brazilian context, given the numerous structural problems in its prison system. Initially, a diagnosis of the current ...




















