IBMEC RJ Economics Discussion Papers

From Economics Research Group, IBMEC Business School - Rio de Janeiro
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2012-05: Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA

Márcio Laurini and Márcio Diniz

2012-04: Some Comments on a Macro-Finance Model with Stochastic Volatility

Márcio Laurini and João Caldeira

2012-03: Generalized Tests of Investment Fund Performance

Márcio Laurini

2012-02: A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models

Márcio Laurini

2012-01: Dynamic Functional Data Analysis with Nonparametric State Space Models

Márcio Laurini

2011-02: Bayesian Factor Selection in Dynamic Term Structure Models

Márcio Laurini

2011-01: Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations

Márcio Laurini and Luiz Hotta

2010-01: New Evidence on the Role of Cognitive Skill in Economic Development

Eduardo Andrade and Márcio Laurini

2008-02: Symmetry and Time Changed Brownian Motions

José Fajardo and Ernesto Mordecki

2008-01: Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation

José Fajardo and Aquiles de Farias

2006-05: Existence of Equilibrium in Common Agency Games with Adverse Selection

Guilherme Carmona and José Fajardo

2006-04: Skewness Premium with Lévy Processes

José Fajardo and Ernesto Mordecki

2006-03: Implications of the Modigliani-Miller Theorem for the Study of Exchange Rate Regimes

Alexandre Cunha

2006-02: The Welfare Cost of Macroeconomic Uncertainty in the Post-War Period

João Issler, Afonso Franco and Osmani Guillén

2006-01: Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study

Osmani Guillén, João Issler and George Athanasopoulos

2005-14: Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação

Walter Novaes and Fernando de Oliveira

2005-13: The Market of Foreign Exchange Hedge in Brazil: Reactions of Financial Institutions to Interventions of the Central Bank

Fernando de Oliveira and Walter Novaes

2005-12: Duality and Derivative Pricing with Time-Changed Lévy Processes

José Fajardo and Ernesto Mordecki

2005-11: The Evolution of International Output Differences (1960-2000): From Factors to Productivity

Pedro Ferreira, Samuel Pessôa and Fernando Veloso

2005-10: On The Tyranny of Numbers: East Asian Miracles in World Perspective

Pedro Ferreira, Samuel Pessôa and Fernando Veloso

2005-09: Ownership Structure and the Market for Corporate Control

Daniel Ferreira, Emanuel Ornelas and John Turner

2005-08: Trust-Based Trade

Luis Araujo and Emanuel Ornelas

2005-07: Equivalent Martingale Measures and Lévy Processes

José Fajardo

2005-06: The Optimality of the Friedman Rule When Some Distorting Taxes Are Exogenous

Alexandre Cunha

2005-05: Brazilian Business Cycles and Growth from 1850 to 2000

Eurilton Araújo, Luciane Carpena and Alexandre Cunha

2005-04: Do Options Contain Information About Excess Bond Returns?

Caio Almeida, Jeremy Graveline and Scott Joslin

2005-03: Skinning the Cat: Education Distribution, Changes in the School Premium and Earnings Inequality

Sergio Ferreira

2005-02: Pension Reform in Brazil: Transitional Issues in a Model with Endogenous Labor Supply

Sergio Ferreira

2005-01: Duality and Derivative Pricing with Lévy Processes

José Fajardo and Ernesto Mordecki