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Price Stickiness in Emerging Economies: Empirical Evidence for Four Latin-American Countries
(Universidad de Chile, Facultad de Economía y Negocios, 2008)
In spite of vast theoretical developments on the issue of price stickiness in
the context of macroeconomic models, papers assessing the empirical validity of
such hypothesis using micro-data are scarce. Most of these few ...
A family of autoregressive conditional duration models
(Escola de Pós-Graduação em Economia da FGV, 2003-10-05)
This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional ...
An estimation on the survival of retail gasoline prices
(Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2015)
A family of autoregressive conditional duration models
(Escola de Pós-Graduação em Economia da FGV, 2002-03-18)
This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional ...
Time-dependent or state-dependent pricing? Evidence from firms’ response to inflation shocks
(2015-03-25)
This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring ...
Testing the Markov property with ultra high frequency financial data
(Fundação Getulio Vargas, 2001-03-01)
This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a ...
Non-parametric specification tests for conditional duration models
(Escola de Pós-Graduação em Economia da FGV, 2000-03-23)
This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard rate functions. More precisely, we foeus on the distance between the parametric density (or ...
Time-dependent or State-dependent Pricing? Evidence from Firms' Response to Inflation Shocks
(Sociedade Brasileira de Econometria, 2016)
Time-dependent or state-dependent pricing?: evidence from firms' response to inflation shocks
(Sociedade Brasileira de Econometria, 2016-03-10)
This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring ...
Profundidade de mercado na BM&FBovespa: um modelo de alta frequência para estimação da profundidade de mercado da BM&FBovespa
(2013-05-29)
The objective of this paper is to estimate a dynamic market depth measure, called VNET, for Brazilian stocks using transactions data. VNET gauges the difference between the numbers of buyer- and seller-initiated trades ...