A hipótese de mercados eficientes é um assunto de grande relevância dentro da teoria de finanças. Assim, este trabalho tem por objetivo verificar a presença de eficiência no mercado à vista e futuro de boi gordo no Brasil, no período de março de 2001 a maio de 2010, totalizando 2.300...

In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate the impulse response of the interest rate, following a change in the rating. Since ratings are ordinal and moreover extremely persistent, it proves difficult to estimate those...

Partial derivatives have a special place in economics since the marginal revolution of the 1850s. We present results from multivariate partial derivative estimates using nonlinear non-parametric regressions in a finite difference method, accessible via the R-package NNS. Numerical partial...

In this note, we build upon the asymptotic theory for GARCH processes, considering the general class of augmented GARCH(p, q) processes. Our contribution is to complement the well-known univariate asymptotics by providing a bivariate functional central limit theorem between the sample quantile...

This paper analyzes the effects of public R&D funding on R&D expenditure and patenting behavior of German firms. The main focus is the direct impact of subsidies on R&D and the indirect effect on innovation output measured by patent applications. We distinguish the productivity of purely...

Despite a well-established correlation between alcohol intake and various risk-taking sexual behaviors, the causality remains unknown. The observed association can be easily attributed to the influence of unobserved individual characteristics rather than the influence of substance use. I model...

The objective of this paper is to describe and analyze with appropriate statistical models the links between the work quality latent factors using data from a recent Survey on the Italian Social Cooperatives known as ICSI2007. Due to the task complexity, the analysis is carry out by a two-step...

This paper considers the treatment of endogenous explanatory variables in the work of the Cowles Commission and in Carl Christ's classic 1966 textbook, and certain problems that arise when this approach is followed in areas such as the study of female labor supply where a prior knowledge is...

This paper examines the limiting properties of the estimated parameters in the random field regression model recently proposed by Hamilton (Econometrica, 2001). Though the model is parametric, it enjoys the flexibility of the nonparametric approach since it can approximate a large collection of...