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Brazilian Review of Econometrics

1981 - 2017

Current editor(s): Daniel Monte

From Sociedade Brasileira de Econometria - SBE
Contact information at EDIRC.

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Volume 37, issue 1, 2017

On the choice of covariance specifications for portfolio selection problems Downloads
André Alves Portela Santos and Alexandre R. Ferreira
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds Downloads
Laura Simonsen Leal and Caio Almeida
Automated Democracy Scores Downloads
Thiago Marzagão
Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil Downloads
Clemens Vinicius Nunes, Jonas Doi and Marcelo Fernandes
Failure of the Ricardian Equivalence Theory in Economies with Incomplete Markets Downloads
José Angelo Divino and Jaime Orrillo

Volume 36, issue 2, 2016

Measuring the Monetary Policy’s Structural Credibility by the Expected Inflation Determinants: a Kalman Filter Approach for Brazil Downloads
Ricardo Ramalhete Moreira
Time-Dependent or State-Dependent Pricing? Evidence From a Large Devaluation Downloads
Bernardo Guimaraes and Celio Feltrin
Forecasting Brazilian Inflation with High-Dimensional Models Downloads
Marcelo Medeiros, Gabriel Vasconcelos and Eduardo Freitas
The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets Downloads
Francisco Luna Santos, Márcio Gomes Pinto Garcia and Marcelo Medeiros
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil Downloads
Caio Almeida, Bernardo Ricca and Cristina Tessari

Volume 36, issue 1, 2016

Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters Downloads
Adriano Faria, Rafael Ornelas and Caio Almeida
Tax Filing Choices for the Household Downloads
Carlos Eugênio da Costa and Érica Diniz Oliveira
The Forecast Ability of Option-implied Densities from Emerging Markets Currencies Downloads
Jose Ornelas
The External Finance Premium in Brazil: Empirical Analyses Using State Space Models Downloads
Fernando Oliveira
Time-dependent or State-dependent Pricing? Evidence from Firms' Response to Inflation Shocks Downloads
Bernardo Guimaraes, Andre Mazini and Diogo de Prince
Pricing Options Embedded in Debentures with Credit Risk Downloads
Caio Almeida and Leonardo Tavares Pereira

Volume 35, issue 2, 2015

Investment-Specific Technological Change and the Brazilian Macroeconomy Downloads
Vladimir Teles, Celso Costa Junior and Rafael Mouallem Rosa
Brazil Through the Eyes of CHORINHO Downloads
Fabio Kanczuk
SAMBA: Stochastic Analytical Model with a Bayesian Approach Downloads
Marcos Castro, Solange N. Gouvea, André Minella, Rafael Santos and Nelson F. Souza-Sobrinho
Fiscal Policy Multipliers in a DSGE Model for Brazil Downloads
Marco A. F. H. Cavalcanti and Luciano Vereda
What lf Brazil Hadn't Floated the Real in 1999? Downloads
Carlos Viana de Carvalho and André D. Vilela

Volume 35, issue 1, 2015

Price Discovery in Brazilian FX Markets Downloads
Francisco Luna Santos, Márcio Gomes Pinto Garcia and Marcelo Medeiros
Unobserved Heterogeneity in Regression Models: A Semiparametric Approach Based on Nonlinear Sieves Downloads
Marcelo Medeiros, Priscilla Burity and Juliano Assunção
Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data Downloads
Flávio Augusto Ziegelmann, Bruna Borges and João F. Caldeira
The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil Downloads
Marcelo Fernandes and Eduardo Thiele

Volume 34, issue 2, 2014

Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model Downloads
Caio Almeida, Kym Ardison and Daniela Kubudi
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model Downloads
Caio Almeida and Bruno Lund
Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds? Downloads
Marcelo Fernandes and Ricardo Nunes
Non-linear Demand and Price: An Empirical Analysis of the Brazilian Industrial Electricity Consumption Downloads
Claudio Lucinda and Francisco Anuatti Neto

Volume 34, issue 1, 2014

Wage Differentials: Trade Openness and Wage Bargaining Downloads
Gustavo Gonzaga, Cristina Terra and Beatriz Muriel Hernandez
Voting Premium in the Brazilian Equity Market Downloads
Marcelo Fernandes and Vitor Frango de Souza
Market Depth at the BM&FBovespa Downloads
Marcelo Fernandes and Carlos Felipe Barros
Forecasting the Brazilian Term Structure Using Macroeconomic Factors Downloads
Caio Almeida and Adriano Faria

Volume 33, issue 2, 2013

Local Exponential Frontier Estimation Downloads
Carlos Martins-Filho, Flávio Augusto Ziegelmann and Hudson da Silva Torrent
Nonlinear Error Correction Models With an Application to Commodity Prices Downloads
Marcelo Medeiros and Rafael Magri
Financial Constraints, Endogenous Educational Choices and Self-Selection of Migrants Downloads
Juliano Junqueira Assunção and Leandro Carvalho
A Study of the Brazilian business cycles (1900 – 2012) Downloads
Pedro L. Valls Pereira and Heleno Piazentini Vieira

Volume 33, issue 1, 2013

Poverty Dynamics in Mexico, 2002-2005. An Ethnicity Approach Downloads
Jennifer Castañeda Navarrete
Are Political Institutions Substitutes for Democracy? A Political Economy Analysis of Economic Growth Downloads
Vladimir Teles and Carlos Pereira
Optimal Exchange Rate Policy and Business Cycles Downloads
Alexandre Cunha

Volume 32, issue 2, 2012

Does the Growth Acceleration Program Accelerate Growth? Downloads
Julio Mereb and Eduardo Zilberman
The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals Downloads
Marcelo Fernandes and Pierre-Yves Preumont
Non-Parametric Pricing of Interest Rates Options Downloads
Márcio Laurini and Roberto Mauad

Volume 32, issue 1, 2012

Combining Strategies for the Estimation of Treatment Effects Downloads
Sergio Firpo and Rafael de Carvalho Cayres Pinto
Is the Bank Interest Rate Pass-Through of Selic Rate Movements Asymmetric? Downloads
João Manoel Pinho de Mello and Pedro Henrique Rosado de Castro
The impact of Tax substituition on the price of pharmaceutical products in the of São Paulo Downloads
André Chagas

Volume 31, issue 2, 2011

A Simple Method of Elicitation of Preferences under Risk Downloads
José Guilherme Lara Resende and Patricia Langsch Tecles
Human Capital and the Recent Fall of Earnings Inequality in Brazil Downloads
Priscilla Albuquerque Tavares and Naercio Menezes-Filho
Identification of Gaussian Term Structure Models with Observable Factors Downloads
Marco Matsumura, Ajax Moreira and Jose Valentim Machado Vicente
Are Dual and Primal Estimations Equivalent in the Presence of Stochastic Errors in Input Demand? Downloads
Mauricio Bittencourt and Armando Vaz Sampaio

Volume 31, issue 1, 2011

Bayesian mixture of parametric and nonparametric density estimation: A Misspecification Problem Downloads
Hedibert F. Lopes and Ronaldo Dias
Qualis as a measuring stick for research output in Economics Downloads
Bernardo Guimaraes
The Relation between Expected Returns and Volatility in the Brazilian Stock Market Downloads
Ricardo R. G. Avelino
Leading Indicators for the Capital Goods Industry Downloads
Igor Alexandre C. Morais and Marcelle Chauvet
Monetary Policy and Exchange Rate Shocks in Brazil: Sign Restrictions versus A New Hybrid Identification Approach Downloads
Elcyon Caiado Rocha Lima, Alexis Maka and Paloma Alves
Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes Downloads
Fabio Alexander Fajardo
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