Results 41 to 50 of about 1,421 (77)
Revista de Economia Mackenzie, 2009 The main goal of this paper is to evaluate the impact of the exchange rate volatility in price prediction of derivative securities in the Brazilian capital markets using an artificial neural network technique, given the Black & Scholes Model ...
Carlos Alberto Aragón de Planas +2 more
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Forecasting Bonds Yields in the Brazilian Fixed Income Market [PDF]
This paper studies the predictive ability of a variety of models in forecasting the yield curve for the Brazilian fixed income market. We compare affine term structure models with a variation of the Nelson-Siegel exponential framework developed by ...
Benjamin M. Tabak, Jose Vicente
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Evaluation of Default Risk for The Brazilian Banking Sector [PDF]
This paper employs new methods to measure and monitor risk in the Brazilian banking sector. We prove that the option-based risk measure is negatively sensitive to interest rates.
Benjamin M. Tabak, Marcelo Y. Takami
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Revista Contabilidade & Finanças, 2013 De acordo com a literatura de gestão de risco, a diversificação contribui para a mitigação do risco. Neste sentido, os fundos de índice Exchange Traded Funds (ETF), recém-introduzidos no mercado brasileiro, permitem sua fácil execução.
Yuri Sampaio Maluf +1 more
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Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil [PDF]
This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market.
Benjamin M. Tabak +2 more
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Tarifas e Taxas de Ocupação de Hoteis, Conforme suas Formas de Organização e Viajantes que Acolhem.
Revista Turismo em Análise, 2012 <p style="text-align: center; margin: 6pt 0cm" class="Ttulloderesumo" align="center"><strong><font face="Times New Roman" size="3">Resumo</font></strong></p><span class="hps"><span style="font-family: 'Times ...
Dárlei Geovanne Vianna dos Santos +1 more
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Does Curvature Enhance Forecasting? [PDF]
In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rate means. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor captures a second type of ...
André Leite +3 more
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Is Inflation Persistence Over? [PDF]
We analyze inflation persistence in several industrial and emerging countries in the recent past by estimating reduced-form models of inflation dynamics. We select a very representative group of 23 industrial and 17 emerging economies.
Fernando N. de Oliveira, Myrian Petrassi
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Evaluating Asset Pricing Models in a Fama-French Framework [PDF]
In this work we propose a methodology to compare different stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S.
Carlos Enrique Carrasco Gutierrez +1 more
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Inflation Targeting, Credibility and Confidence Crises [PDF]
We study the interplay between the central bank transparency, its credibility, and the inflation target level. Based on a model developed in the spirit of the global games literature, we argue that whenever a weak central bank adopts a high degree of ...
Aloisio Araujo, Rafael Santos
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