The literature on excess return prediction has considered a wide array of estimation schemes, among them unrestricted and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two types of restrictions are considered: positivity of the...

We study the simultaneous occurrence of long memory and nonlinear effects, such as structural breaks and thresholds, in autoregressive moving average (ARMA) time series models and apply our modeling framework to series of daily realized volatility. Asymptotic theory for the quasi-maximum...

The literature on excess return prediction has considered a wide array of estimation schemes, among them unrestricted and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two types of restrictions are considered: positivity of the...

The article proposes a simple methodology to build a richness line that depends on the knowledge of the income distribution and the poverty line for a given population. The richness line is justified based on the principle that poverty is morally unacceptable and is defined as the line that...

The article examines the Brazilian Welfare State's main tendencies between the early 1930's and the late 1990's. Comparing the literature on the subject it shows that the distributive characteristics of social policies were affected by an concentrative economic model, by the lack of a wide labor...

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...