10 citations
5 papers
Why you should also use OLS estimation of tail exponents
Thiago Trafane Oliveira Santos, Daniel Oliveira Cajueiro
Even though practitioners often estimate Pareto exponents running OLS rank-size regressions, the usual recommendation is to use the Hill MLE with a small-sample correction instead,…
Zipf's law in the distribution of Brazilian firm size
Thiago Trafane Oliveira Santos, Daniel Oliveira Cajueiro
Zipf's law states that the probability of a variable being larger than is roughly inversely proportional to . In this paper, we evaluate Zipf's law for the distribution of f…
The offline digital currency puzzle solved by a local blockchain
Henrique de Carvalho Videira
A major drawback in deploying central bank digital currencies (CDBC) is the offline puzzle, which requires that a CBDC must keep the provision given by cash, and, simultaneously, a…
A note on the Lindeberg condition for convergence to stable laws in Mallows distance
Euro G. Barbosa, Chang C. Y. Dorea
We correct a condition in a result of Johnson and Samworth (Bernoulli 11 (2005) 829--845) concerning convergence to stable laws in Mallows distance. We also give an improved versio…
Long-range dependence in Interest Rates and Monetary Policy
Daniel O. Cajueiro, Benjamin M. Tabak
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-rang…