Brazilian Review of Econometrics

1981 - 2024

Current editor(s): Daniel Monte

From Sociedade Brasileira de Econometria - SBE
Contact information at EDIRC.
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A General Approach for Pricing Rollover Options: Christian Zimmer
Earnings Inequality in Brazil: Is it Permanent or Transitory?: Antonio Loureiro Santos and André Souza
Phase Transition in a Non-Cooperative Population Game: Heron Carlos Esvael do Carmo and Gustavo Gomes de Freitas
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models: Rosemeire O. Ferraz and Luiz Hotta
The Dynamics of Firm Size Distribution: Eduardo Ribeiro
The Trade-Off Between Incentives and Endogenous Risk: Aloisio Araujo, Humberto Moreira and Marcos Tsuchida

Inﬂation Dynamics in Brazil: The Case of a Small Open Economy: Waldyr Areosa and Marcelo Medeiros
Pricing and Modeling Credit Derivatives: Muzaﬀer Akat, Caio Almeida and George Papanicolaou
The Fiscal Theory of the Price Level and the Interaction of Monetary and Fiscal Policies: The Brazilian Case: Tito Belchior S. Moreira, Geraldo da Silva e Souza and Charles Lima de Almeida
Conditional Treatment and Its Eﬀect on Recidivism: José R. Carvalho and Herman J. Bierens
Assessing Debt Sustainability in Brazil: Alexandre de Carvalho and Pedro A. S. Salomão
Comparing Value-at-Risk Methodologies: Luiz Lima and Breno Pinheiro Néri

Goodness-of-ﬁt Tests Focus on Value-at-Risk Estimation: José Fajardo, Jose Ornelas and Aquiles Rocha de Farias
Two-Sided Altruism in an OLG Model with Incomplete Markets and Default: Wilfredo Maldonado and Jaime Orrillo
Dynamic Hedging with Stochastic Diﬀerential Utility: Rodrigo De Losso da Silveira Bueno
Multivariate Skew Distributions Based on the GT-Copula: Beatriz Vaz de Melo Mendes and Olcay Arslan
Combining Aggregate and Plant-Level Data to Estimate a Discrete-Choice Demand Model: Sergio Aquino DeSouza
Intergenerational Mobility of Wages in Brazil: Sergio Guimarães Ferreira and Fernando A. Veloso

Another Proof of the Existence of GEI Equilibrium with Default and Exogenous Collateral: Jaime Orrilo
Pension Reform in Brazil: Transitional Issues in a Model with Endogenous Labor Supply: Sergio Guimarães Ferreira
Work-Related Injuries Involving Children and Adolescents: Application of a Recursive Bivariate Probit Model: Ana Lucia Kassouf and Rodolfo Hoffmann
Subnational Debt Renegotiation and Elections: Experimentation and Reputation in the Brazilian Fiscal Federalism: Maurício Soares Bugarin
State Space Models for Dynamic Style Analysis of Portfolios: Adrian Pizzinga and Cristiano Fernandes
Risk Regulation in Brazil: A General Equilibrium Model: Aloisio Araujo and José Valentim M. Vicente

Explaining DEA Technical Efficiency Scores in an Outlier Corrected Environment: The Case of Public Services in Brazilian Municipalities: Maria da Conceição Sampaio de Sousa, Francisco Cribari-Neto and Borko D. Stosic
A Dynamic Market Clearing Price Mechanism with Multiple Demands: Marilda Sotomayor
Regress and Progress! An Econometric Characterization of the Short-Run Relationship between Productivity and Labor Input in Brazil: Matheus Albergaria de Magalhães and Paulo Picchetti
A Markov Switching Model for the Brazilian Demand for Imports: Analyzing the Import Substitution Process in Brazil: Igor Alexandre C. de Morais and Marcelo Savino Portugal
Further Results on Weak Exogeneity in Vector Error Correction Models: Christophe Rault
Optimal Portfolio Structuring in Emerging Stock Markets Using Robust Statistics: Fernando R. Q. Reyna, Antonio M. Duarte Júnior, Beatriz V. M. Mendes and Oscar Porto

Sensitivity Analysis in Computable General Equilibrium Models: An Application for the Regional Effects of the Free Trade Area of the Americas (FTAA): Edson Domingues and Eduardo Haddad
A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models: Caio Almeida
Long-run Implications of the Brazilian Capital Stock and Income Estimates: Victor Gomes, Mirta N. S. Bugarin and Roberto Ellery
Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check: Leonardo Souza, Alvaro Veiga and Marcelo Medeiros
An Analysis of Quit and Dismissal Determinants between 1988 and 1999 using the Bivariate Probit Model: Veronica I. F. Orellano and Paulo Picchetti

On the Statistical Estimation of Diffusion Processes: A Partial Survey: Rubens Cysne
Generalized Hyperbolic Distributions and Brazilian Data: José Fajardo and Aquiles Farias
Optimal Portfolio and Consumption in a Switching Diffusion Market: Daniel Cajueiro and Takashi Yoneyama
Core Inflation: Robust Common Trend Model Forecasting: Ajax R. B. Moreira and Helio S. Migon
Political Economy of Intermunicipal Health Consortia Formation: Effects of Income and Preference Heterogeneity among Municipalities: Luciana Teixeira, Mauricio Bugarin and Maria Cristina Mac Dowell

Decomposition of Mehran and Piesch inequality measures by factor components and their application to the distribution of per capita household income in Brazil: Rodolfo Hoffmann
Long memory in the R$ / US$ exchange rate: A robust analysis: Márcio Laurini and Marcelo Savino Portugal
Relative deficit of health services in Brazilian states and regions: Carlos Gasparini and Francisco Ramos
Political uncertainty and monetary unions: Carlos Goncalves
Overreaction of yield spreads and movements of Brazilian interest ratest: Ricardo Brito, Angelo José Mont' Alverne Duarte and Osmani Guillén

The Use of Martingale Theory for the Superreplication of Exotic Options in Incomplete Markets: Christian Zimmer
A Dynamic Price-Setting Mechanism for a Hybrid Matching Market: Marilda Sotomayor
Estimation of the Brazilian Consumer Demand System: Seki Asano and Eduardo P. S. Fiuza
A Univariate Analysis of Unemployment and Inflation in Italy: A Fractionally Integrated Approach: Luis Gil-Alana
Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model: Anderson C. O. Motta and Luiz Hotta

Multivariate Threshold Models: TVARs and TVECMs: Ana Galvão
The Secular Trend of Brazilian Terms of Trade Revisited - 1850 to 2000: , Sergio Kannebley and Amaury Patrick Gremaud
Determinants of the Differential Pricing between Voting and Non-Voting Shares in Brazil': Richard Saito
A Competitive Growth Model with Endogenous Fertility: Fernando A. Veloso
Effects of Trade Policy on Technology Adoption and Investment: Arilton Teixeira