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Content
2007, Volume 5, Issue 1
- 79-92 A Polynomial Term Structure Model with Macroeconomic Variables
by Felipe Pinheiro & Caio Ibsen Rodrigues de Almeida & José Valentim Vicente
2006, Volume 4, Issue 2
- 123-140 Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors?
by Daniel Chrity & Márcio G. P. Garcia & Marcelo Cunha Medeiros - 141-167 The Market Reaction to Changes in the Brazilian Stock Exchange Indexes
by Jairo Laser Procianoy & Rodrigo S. Verdi - 169-179 Application of Compound Options in the Evaluation of American Puts
by José Ferreira Marinho Junior & Mauro Antonio Rincon - 181-202 Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation
by Marcos Roberto Gois de Oliveira & Charles Ulises de Montreuil Carmona & José Lamartine Távora Junior - 203-228 Pricing Volatility Referenced Assets
by Alan De Genaro Dario
2006, Volume 4, Issue 1
- 3-32 Corporate Attributes, Corporate Governance Quality, and the Value of Public Brazilian Companies
by Alexandre Di Miceli da Silveira & Lucas Ayres B. de C. Barros & Rubens Famá - 33-53 Bookbuilding and Strategic Allocation: Evidence from the Brazilian Stock Market
by Richard Saito & José André C. M. Pereira - 55-77 Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach
by Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza - 79-95 Foreign Capital Flow and the Ibovespa Performance
by Roberto Meurer - 97-118 Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies
by Alan Cosme Rodrigues da Silva & Claudio Henrique da Silveira Barbedo & Gustavo Silva Araújo & Myrian Beatriz Eiras das Neves
2005, Volume 3, Issue 2
- 141-172 A Real Option Model with Uncertain, Sequential Investment and with Time to Build
by Guilherme B. Martins & Marcos Eugênio da Silva - 173-193 Debt Structure of Public Brazilian Companies: an Empirical Study
by Cláudio R. Lucinda & Richard Saito - 195-221 Non-Linear Transaction Costs Inclusion in Mean-Variance Optimization
by José Euclides de Melo Ferraz & Christian Johannes Zimmer - 223-249 Evaluation of Foreign Exchange Risk Capital Requirement Models
by Claudio H. da S. Barbedo & Gustavo S. Araújo & João Maurício S. Moreira & Ricardo S. Maia Clemente - 251-265 Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas
by Beatriz Vaz de Melo Mendes
2005, Volume 3, Issue 1
- 1-18 Corporate Governance Index, Firm Valuation and Performance in Brazil
by André Luiz Carvalhal da Silva & Ricardo Pereira Câmara Leal - 19-54 Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation
by Cícero Augusto Vieira Neto & Pedro L. Valls Pereira - 55-100 An Essay on the Foreign Exchange Rate Expectations in Brazil
by Wagner Piazza Gaglianone & Ana Luiza Louzada Pereira - 101-121 A Multi-Period Mean-Variance Portfolio Selection Problem
by Oswaldo Luiz do Valle Costa & Rodrigo de Barros Nabholz - 123-137 Measuring the Influence of the US Market over Observed Interdependencies in Latin America
by Alba Regina Moretti & Beatriz Vaz de Melo Mendes
2004, Volume 2, Issue 2
- 119-136 Estimating Risk and Return Combinations for New Derivatives Funds
by Ney Roberto Ottoni de Brito & Alexandre Bona & Affonso Tarciro, Jr. - 137-157 The Uncovered Interest Parity in the Foreign Exchange (FX) Markets
by Joe Akira Yoshino & Silvio Ricardo Micheloto - 159-182 Credit Derivatives Pricing in Brazil
by Jorge C. Kapotas & Pedro Paulo Schirmer & Marcelo M. Taddeo - 183-206 Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model
by Luciano Martin Rostagno & Gilberto de Oliveira Kloeckner & João Luiz Becker - 207-223 Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates
by Vinicius Ratton Brandi & Beatriz Vaz de Melo Mendes
2004, Volume 2, Issue 1
- 1-21 Forward Volatility Contract Pricing in the Brazilian Market
by Jorge C. Kapotas & Pedro Paulo Schirmer & Sandro Magalhães Manteiga - 23-46 Heston Model Calibration in the Brazilian Foreign Exchange (FX) Options Market
by Marcelo Nóbrega da Costa & Joe Akira Yoshino - 47-73 Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock
by João Gabe & Marcelo Savino Portugal - 75-90 Ratio Versus Regression Analysis: Some Empirical Evidence in Brazil
by José Paulo de Lucca Ramos & Newton Carneiro Affonso da Costa Jr. - 91-116 Determining an Efficient Frontier in a Stochastic Moment Setting
by Christian Johannes Zimmer & Beat Matthias Niederhauser
2003, Volume 1, Issue 2
- 165-215 Abnormal Returns and Contrarian Strategies
by Marco Bonomo & Ivana Dall'Agnol - 217-242 The Clientele Effect in the Brazilian Market: Are Investors Irrational?
by Jairo Laser Procianoy & Rodrigo dos Santos Verdi - 243-270 Decentralized Portfolio Management
by Paulo Coutinho & Benjamin Miranda Tabak - 271-300 The Maximum Entropy Principle and the Modern Portfolio Theory
by Ailton Cassetari - 301-339 Portfolio Allocation Subject to Credit Risk
by Rogerio de Deus Oliveira & Caio Ibsen Rodrgues de Almeida
2003, Volume 1, Issue 1
- 1-17 Performance Evaluation and Market Timing: the Skill Index
by Ney Roberto Ottoni de Brito - 19-43 Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
by Benjamin Miranda Tabak & Sandro Canesso de Andrade - 45-87 Applications of Real Options in the Real Estate Market Focusing the City of Rio de Janeiro
by Priscilla Yung Medeiros - 89-112 The Dynamics of the Option-Adjusted Spread of Brady Bond Securities
by Franklin de O. Gonçalves & Luiz Otavio Calôba - 113-161 Bidding Strategies in Brazilian Treasury Auctions
by Anderson Caputo Silva