In this article, we test the hypothesis of contagion amongst sectors within the United States' economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation model proposed by Engle (2002). Further, we applied several Lagrange...

It is shown that the ML estimates of the popular GARCH(1,1) model are significantly negatively biased in small samples and that in many cases converged estimates are not possible with Bollerslev's non-negativity conditions. Results also indicate that a high level of persistence in GARCH(1,1)...

This article analyses the evolution of relative per capita income distribution of Brazilian municipalities over the period 1970-1996. Analyses are based on non-parametric methodologies and do not assume probability distributions or functional forms for the data. Two convergence tests have been...

This article generalizes the conditional stochastic kernel developed by Quah (1997, 1998) for multiple and more general conditioning schemes using nonparametric conditional density estimation. We utilize this methodology to analyze conditional convergence in income for Brazilian municipalities...