Working Paper Series

Browse the categories to access the content of academic, scientific and opinion publications of the professors and students of the Department of Economics PUC-Rio.

Forecasting Realized Volatility with Linear and Nonlinear Models

N 568, 01/03/2010

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in this paper

 

 Publicado em Journal of Economic Surveys, 25, 6-18,2011

Michael McAller, Marcelo Medeiros.


Brasil 1961-1964: Inflação, estagnação e ruptura

N 569, 01/02/2010

Mario Magalhães Carvalho Mesquita.


A sticky-dispersed information Philips curve: a model with partial and delayed information

N 565, 01/12/2009

Waldyr Areosa, Vinicius Nascimento Carrasco, Marta Baltar Moreira Areosa.


Incentivo perverso das reservas internacionais: o caso das empresas exportadoras brasileiras

N 564, 01/11/2009

Werther Teixeira de Freitas Vervloet, Márcio Garcia.


Mercados futuro e à vista de câmbio no Brasil: o rabo balança o cachorro

N 563, 01/11/2009

André Ventura Fernandes, Márcio Garcia.


Corrupting learning: evidence from missing federal education funds in Brazil

N 562, 01/09/2009

Claudio Ferraz, Diana Seixas Bello Moreira, Frederico Finan.


Institutional development and colonial heritage within Brazil

N 561, 01/06/2009

Rodrigo Reis Soares, Juliano Assunção, Joana Naritomi.


Linearity testing against a fuzzy rule-based model

N 566, 01/03/2009

In this paper, we introduce a linearity test for fuzzy rule-based models in the framework of time series modeling. To do so, we explore a family of statistical models, the regime switching autoregressive models, and the relations that link them to the fuzzy rule-based models. From these relations, we derive a Lagrange Multiplier linearity test and some properties of the maximum likelihood estimator needed for it. Finally, an empirical study of the goodness of the test is presented.

Publicado em Fuzzy Sets and Systems, 161, 1836-1851. 

José Manuel Benıtez Sánchez, José Luis Aznarte, Marcelo Medeiros.


Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging,

N 570, 01/03/2009

n this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is addressed and the asymptotic properties of the quasi-maximum likelihood estimator are derived. Model specification is also discussed. When the model is applied to the US short-term interest rate we find (1) leading indicators for inflation and real activity are the most relevant predictors in characterizing the multiple regimes’ structure; (2) the optimal model has three limiting regimes. Moreover, we provide empirical evidence of the power of the model in forecasting the first two conditional moments when it is used in connection with bootstrap aggregation (bagging)

Publicado em  Journal of Applied Econometrics.26, 999-1022, 2011

Francesco Audrino, Marcelo Medeiros.


Escolaridade e o diferencial de rendimentos entre o setor privado e o setor público no Brasil

N 560, 01/12/2008

publicado em Pesquisa e Planejamento Econômico, v. 39, n.3, 2009

Breno Gomide Braga, Gustavo Gonzaga, Sergio Firpo.


Electoral rules, political competition and fiscal spending: regression discontinuity evidence from Brazilian municipalities

N 559, 01/10/2008

Marcos Chamon, João Manoel Pinho de Mello, Sergio Firpo.


Tax reform in Brazil: an evaluation at the crossroads

N 558, 01/06/2008

Rogério Werneck.


Setting up a modern macroeconomic framework in Brazil, 1993-2004

N 557, 01/06/2008

Rogério Werneck.


A relational theory of relationship lending under contractual incompleteness

N 520, 01/05/2008

publicado em Annals of Finance (Print,0), v. 6, p. 51-82, 2009

João Manoel Pinho de Mello, Vinicius Nascimento Carrasco.


Balance sheet effects in currency crises: evidence from Brazil

N 556, 01/04/2008

Walter Novaes, Márcio Garcia, Marcio Magalhães Janot.


Inter-temporal discounting and uniform impatience

N 555, 01/01/2008

Mario Pascoa, Myrian Beatriz da Silva Petrassi, Juan Pablo Torres-Martínez.


A quem beneficiam as políticas públicas no Brasil? Uma visão de longo prazo

N 554, 01/12/2007

Marcelo de Paiva Abreu.


A Pesquisa em Economia no Brasil: Uma avaliação empírica dos conflitos entre quantidade e qualidade

N 553, 01/12/2007

Walter Novaes.


Welfare-improving debt constraints

N 541, 01/12/2007

Mario Pascoa, Myrian Beatriz da Silva Petrassi, Juan Pablo Torres-Martínez.


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