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.

Unconditional quantile regressions

N 533, 01/11/2006

Nicole M. Fortin, Thomas Lemieux, Sergio Firpo.


Asymmetric effects and long memory in the volatility of Dow Jones stocks

N 532, 01/11/2006

Does volatility reflect a continuous reaction to past shocks or do 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, where large falls (rises) in prices are linked to persistent regimes of high (low) variance in stock returns. Incorporating past cumulated daily returns as an explanatory variable in a flexible and systematic nonlinear framework, we estimate that falls of different magnitudes over less than two months are associated with volatility levels 20% and 60% higher than the average of periods with stable or rising prices. We show that this effect accounts for large empirical values of long memory parameter estimates. Finally, we show that, while introducing more realistic dynamics for volatility, the model is able to overall improve or at least retain out-of-sample performance in forecasting when compared to standard methods. Most importantly, the model is more robust to periods of financial crises, when it attains significantly better forecasts.

Publicado em International Journal of Forecasting, v.25, p. 304-327, 2009

Marcelo Medeiros, Marcel Scharth Figueiredo Pinto.


On the determinants of mortality reductions in the developing world

N 529, 01/10/2006

publicado em Population and Development Review, v. 33, n.2, p.247-287,  junho 2007

Rodrigo Reis Soares.


The demographic transition and the sexual division of labor

N 528, 01/10/2006

publicado em Journal of Political Economy, v. 116, n.61, p. 1058-1104, 2008

Bruno Falcão, Rodrigo Reis Soares.


Wealth transfers and the role of collateral when lifetimes are uncertain

N 527, 01/08/2006

publicado em Economic Theory, v. 36, n,3, setembro 2008

Abdelkrin Seghir, Juan Pablo Torres-Martínez.


Organizational structure and the hold-up problem

N 521, 01/05/2006

Vinicius Nascimento Carrasco.


Syndication and robust collusion in financial markets

N 522, 01/05/2006

Vinicius Nascimento Carrasco, Gustavo Manso.


Formação de preços de commodities: padrões de vinculação dos preços internos ao externos

N 474, 01/05/2006

Marcelo Medeiros, Marcelo de Paiva Abreu, Rogério Werneck.


Relationship lending: Is it Incentives or hidden information?

N 519, 01/05/2006

Vinicius Nascimento Carrasco, João Manoel Pinho de Mello.


Dry law and homicides: evidence from the São Paulo metropolitan area

N 518, 01/05/2006

publicado em Economic Journal v.120, p. 157-182, 2010

João Manoel Pinho de Mello, Ciro Biderman.


Capital inflows into Brazil, 1992-98: the nature and effects of controls and restrictions

N 517, 01/04/2006

Gustavo Henrique de Barroso Franco.


Ineffective controls on capital inflows under sophisticated financial markets: Brazil in the nineties

N 516, 01/03/2006

   publicado como National Bureau of Economic Research Working Paper no. 12283, 2006

Bernardo Soares de Miranda Carvalho, Márcio Garcia.


Alongamento dos títulos de renda fixa no Brasil

N 515, 01/03/2006

publicado como capítulo de livro "Edmar Lisboa Bacha; Luiz Chrysostomo de Oliveira Filho. Mercado de capitas e dívida pública: tributação, indexação, alongamento. Rio de Janeiro: Contra Capa, ANBID, IEPE/CDG, 2006"

Márcio Garcia, Juliana Terreiro Salomão.


Bubbles, collateral and monetary equilibrium

N 513, 01/12/2005

Aloisio Araújo, Juan Pablo Torres-Martínez, Mario Pascoa.


A market game approach to differential information economies

N 512, 01/12/2005

publicado em Economic Theory, v.38, p. 321-330, 2009

Guadalupe Fugarolas, Juan Pablo Torres-Martínez, Carlos Herves Beloso, Emma Moreno Garcia.


Structure and asymptotic theory for STAR(1)-GARCH(1,1) models

N 506, 01/11/2005

Marcelo Medeiros, Michael McAleer.


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