A model of realized variance-covariance is proposed using a portfolio with the most liquid stockassets of Ibovespa. The purpose is to evaluate the economic gains associated with following avolatility timing strategy based on the model’s conditional forecasts. Comparing with...

Using retrospective simulations, we examine whether educational expansions in the past could have reduced earnings inequality and income poverty in Brazil. We use data from three censuses and 35 national household surveys (PNAD). The simulations indicate that there are important limitations to...

We review the literature on the rich, the affluent and the top incomes earners focusing on the determinants of affluence or richness. The review surveys empirical results about the composition of the income and wealth of the rich and its direct determinants, such as individual characteristics,...

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In this paper, we propose a new long memory asymmetric volatility model which captures more flexible asymmetric patterns as compared with several existing models. We extend the new...

This article shows that bagging can improve the forecast accuracy of time series models for realized volatility. We consider 23 stocks from the Dow Jones Industrial Average over the sample period 1995 to 2005 and employ two different forecast models, a log-linear specification in the spirit of...

Using a factor decomposition of the Gini coefficient we measure the contribution to inequality of direct monetary income flows to and from the Brazilian State. The income flows from the State include public servants' earnings, Social Security pensions, unemployment benefits and Social Assistance...

To deal with the problem of underestimation of top incomes in household surveys, we propose a methodology to combine the income distributions of the Brazilian 2010 Census (survey) and of 2010 DIRPF (personal income tax reports). The method consists on estimating a system of non-response weights...

This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification...