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Poverty elasticity : a note on a new empirical approach

Figueiredo, Erik; Laurini, Márcio Poletti - In: The review of income and wealth : journal of the … 62 (2016) 2, pp. 394-401

Persistent link: https://www.econbiz.de/10011621880

A macro-finance term structure model with multivariate stochastic volatility

Laurini, Márcio Poletti; Caldeira, João F. - In: International review of economics & finance : IREF 44 (2016), pp. 68-90

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Implicit inflation and risk premiums in the Brazilian fixed income market

Mariani, Lucas Argentieri; Laurini, Márcio Poletti - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1836-1853

Persistent link: https://www.econbiz.de/10011824783

Portfolio efficiency tests with conditioning information : comparing GMM and GEL estimators

Vigo, Caio; Laurini, Márcio Poletti - 2020

Persistent link: https://www.econbiz.de/10012312843

Inter-temporal CAPM : an empirical test with Brazilian market data

Machado, Octavio Portolano; Bortoluzzo, Adriana Bruscato; … - In: Revista Brasileira de Finanças : RBFin 11 (2013) 2, pp. 149-180

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Determinants of the implied equity risk premium in Brazil

Sanvicente, Antônio Zoratto; Carvalho, Mauricio R. A. - In: Revista Brasileira de Finanças : RBFin 18 (2020) 1, pp. 68-90

Persistent link: https://www.econbiz.de/10012221581

Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators

Vigo Pereira, Caio - 2020

We evaluate the use of Generalized Empirical Likelihood (GEL) estimators in portfolio efficiency tests for asset pricing models in the presence of conditional information. Estimators from GEL family present some optimal statistical properties, such as robustness to misspecification and better...

Persistent link: https://www.econbiz.de/10012848570