In this paper are analyzed eleven stock market indices in order to conclude about their integration orders. With this objective in mind, three tests are performed. The first test, is the standard Augmented Dickey-Fuller ...

The purpose of this paper is to test the hypothesis of long-run purchasing power parity (PPP) for all Latin American countries. These countries share similar economic history and contagious effects from currency crises, ...

In this paper, we investigate three central issues in public finance. First, was the path of public debt sustainable during 1947-1992? Second, how has the government balanced the budget after shocks to either revenues or ...

Essa tese é composta de dois ensaios sobre séries de tempo integradas ou quase-integradas cujo suporte é limitado de alguma forma. O primeiro capítulo introduz as séries em questão no âmbito multivariado, analisando sob ...

In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence ...

Empirical evidence suggests that real exchange rate is characterized by the presence of near-unity and additive outliers. Recent studeis have found evidence on favor PPP reversion by using the quasi-differencing (Elliott ...