This paper is an attempt to revisit the pioneering work of Riazuddin and Khan (2002). A complete business cycle has been elapsed (2002-2010) since their study, so there is need to review the results with additional information. This revisited attempt, based on a theoretically specified...

En este trabajo presentamos un análisis crítico de algunas de las técnicas más aplicadas en la práctica para obtener medidas sintéticas a partir de un sistema de subindicadores previo. En el estudio de cada metodología identificamos las ventajas e inconvenientes asociadas a cada una de...

Following a dramatic breakdown of a managed floating regime, Brazil adopted a framework for policy consisting of inflation targeting and floating exchange rates. The country's commitment to this arrangement, however, is often put to dispute. In this paper we revisit the issue of whether Brazil...

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval and IPC from January 2009 to December...

This paper deals with carbon price variations using a multi time scale decomposition based on the theory of wavelets. Our approach is based on wavelet packet transforms. This original approach enables us to identify that the periods which contribute the most to EUA spot, EUA futures, and CER...

In this paper we consider a weighted harmonic mean of two inconsistent estimators to propose a new estimator of the coefficient of a linear regression model with measurement errors. The proposed estimator is simple and it does not depend on any unknown quantity. The approximate bias and MSE of...

We estimate in this paper a non probabilistic Markovien model of stock prices with an evolutionary selection of heterogeneous strategies. It is a model proposed by Brock and Hommes (1997, 1998) and improved later by Boswijk and al. (2007). Indeed, the latter propose one of the few estimations...

In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been...

Using Bayesian methods, we reexamine the empirical evidence from Sakoulis et al. (2010) regarding structural breaks in the forward discount for G-7 countries. Our Bayesian framework allows the number and pattern of structural changes in level and variance to be endogenously determined. We find...

There is a fast growing literature that partially identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). To date, the methods that have been used are...