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Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
(Sociedade Brasileira de Econometria, 2016-03-10)
This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ...
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters
(Sociedade Brasileira de Econometria, 2016)
Optimización estática y dinámica en economía
(Universidad Nacional de ColombiaSede BogotáBogotá, Colombia, 2008)
El presente texto es el resultado de la depuración, durante varios semestres, de las notas de clase de los cursos de economía matemática y en particular, los primeros siete capítulos, del curso de matemáticas III para la ...
Generalized disappointment aversion, long-run volatility risk, and asset prices
(2011)
We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ...
Progressive Consumption Taxes
(Escola de Pós-Graduação em Economia da FGV, 2020-09-29)
In a static setting, whether consumption or labor income is progressively taxed is irrelevant for household choices and welfare. In a dynamic setting, however, these two forms of progressivity have markedly di erent ...
Essays in empirical finance
(2017-03-16)
This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure ...
Saving and Real Interest Rates in BrazilSaving and Real Interest Rates in Brazil
(Sociedade Brasileira de Econometria, 1991)
The equity premium puzzle with 2 different rates of return definitions : the stochastic nature of their solutions
(Universidad de San Andrés. Departamento de Economía, 2009)
This paper suggests that the models which try to explain the equity premium puzzle
underestimate rare economic events. The stochastic nature of the model increases
the probability of far-from the mean output levels. A ...
Invariant tests in an instrumental variables model with unknown data generating process
(2015-04-28)
In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests ...