Stationarity Tests
Mostrando 1-9 de 9 artigos, teses e dissertações.
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1. Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market
This paper tests the validity of the Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. The Corwin-Schultz estimator arises as an easy way to compute asymmetric information throughout daily high and low stock prices for estimating overnight and non-negative adjusted spreads. The sample consisted of Ibovespa firms from 1986 to 2014 and was
BAR, Braz. Adm. Rev.. Publicado em: 2016-03
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2. Impacto da implantaçao de perímetros irrigados na qualidade das águas superficiais da porção mineira do médio São Francisco
The irrigation projects Jaíba Gorutuba and Laguna Grande located in the mining portion of the Middle San Francisco, occupying an irrigable area of approximately 31,493 ha. As irrigated agriculture has the potential to contaminate water resources due to deforestation, the application of fertilizers and pesticides, the objective of this research was to invest
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 29/03/2012
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3. NÃO-ESTACIONARIEDADE DE SÉRIES TEMPORAIS TURBULENTAS E A GRANDE VARIABILIDADE DOS FLUXOS NAS BAIXAS FREQUÊNCIAS / TIME SERIES NON-STATIONARITY AND THE LARGE LOW FREQUENCY TURBULENT FLUX VARIABILITY
A complexidade de escoamentos turbulentos causa dificuldade para a descrição de fenômenos complexos, como o transporte de grandezas vetoriais e escalares na baixa atmosfera, fazendo com que a análise de dados experimentais, principalmente séries temporais, seja amplamente utilizada. O método mais utilizado pela comunidade micrometeorológica para quant
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 11/08/2011
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4. On the purchasing power parity for latin-american countries
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, which might lead to comovements in their real exchange rates. New time series unit root tests found evidence of PPP for the vast majority of
Publicado em: 01/06/2010
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5. Uma abordagem da hipótese da neutralidade da moeda usando dados do Brasil pós-Real / An approach to the hypothesis of neutrality of money using data from Brazil after the Real Plan
The hypothesis of neutrality of money is the theoretical framework of the Quantity Theory of Money (QTM), which is based from the Fishers equation of exchange, assuming that the income-velocity of money is constant, the real output is exogenously determined by nonmonetary variables, such as technology, capital stock and labor supply. But the real output is t
Publicado em: 2010
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6. Apreçamento racional de mercadorias utilizando modelo de valor presente para o boi gordo no período de 2001 a 2008
Campbell and Schiller (1987) proposed, within the scope of econometric analysis and cointegration, a powerful tool that enabled the present value model tests to also test market rationality and efficiency. The opportunity offered by the present value model of a substantial and settled fundamental value theory together with a powerful tool kit of empiricaleco
Publicado em: 2010
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7. Hysteresis in brazilian manufactured exports: a panel cointegration analysis / Hysteresis nas exportações manufaturadas brasileiras: uma análise de cointegração com dados em painel
In spite of the recent fall of the growth rate of Brazilian exports, the response of external sales to the appreciation of the exchange rate has been slower than what was predicted by economic theory. These evidences suggest that deviations from a long-run relationship between exchange rate and exports may take longer to be corrected, motivating the investig
Publicado em: 2010
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8. Commercial release and breaks structural: empirical evidences for Latin America / LiberaÃÃo comercial e quebra estrutural: evidÃncias empÃricas para a AmÃrica Latina
The main purpose of this thesis is to verify statistical and analytically the economic openness impacts regarding their openness degree in comply with the economic politics results. In light of the substantial movement towards trade liberalization during 80â decade, statistical analysis aimed to identify structural breaks at international trade series (Expo
Publicado em: 2007
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9. Sustentabilidade da política fiscal brasileira no período pós real: 1995 - 2006.
The objective of this dissertation is to evaluate the sustainability of the Brazilian fiscal policy during the period from 1995 to 2006, considering the dynamics of growth of the federal public debt, the behavior of the public incoming and expenditure, and the behavior of the primary result to face the new increases in the public indebtedness. The basic idea
Publicado em: 2007