Sabatini (2002) and Roberts and Wibbles (1999) Pointed Out That Voters in Latin American Countries are no Longer Choosing According to Their Ideological Preferences. Ashworth and Heyndels (2002) Showed That the Tax Choice In Oecd Countries Does not Follow the Ideological Pattern of Party...

We forecast daily realized volatilities with linear and nonlinear models and evaluate the benefits of bootstrap aggregation (bagging) in producing more precise forecasts. We consider the linear autoregressive (AR) model, the Heterogeneous Autoregressive model (HAR), and a non-linear HAR model...

We document a novel type of international financial contagion whose driving force is shared financial intermediation. In the London peripheral sovereign debt market during pre-1914 period financial intermediation played a major informational role to investors, most likely because of the absence...

Como em várias outras atividades, a pesquisa em Economia internaliza um conflito entre qualidade e quantidade. Para avaliar tal conflito, este artigo documenta os trabalhos publicados entre 1999 e 2004 por 94 pesquisadores do CNPq e 1.209 pesquisadores de 54 centros americanos de referência em...

In this paper a new model of mixture of distributions is proposed, where the mixing structure is determined by a smooth transition tree architecture. Models based on mixture of distributions are useful in order to approximate unknown conditional distributions of multivariate data. The tree...

This paper measures the degree of segmentation in the brazilian labor market. Controlling for observable and unobservable characteristics, workers earn more in the formal sector, which supports the segmentation hypothesis. We break down the degree of segmentation by socio-economic attributes to...

Does volatility reflect a continuous reaction to past shocks or changes in the markets induce shifts in the volatility dynamics? In this paper, we provide empirical evidence that cumulated price variations convey meaningful information about multiple regimes in the realized volatility of stocks,...

In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a...