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Revista Brasileira de Finanças

ISSN: 1679--0731
Publisher: Brazilian Society of Finance


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Risk Measures and Contagion Matrix: an Application of CoVaR for the Brazilian Financial Market

Author(s): Aléssio Tony Cavalcanti de Almeida | Bruno Ferreira Frascaroli | Danilo Regis da Cunha
Volume: 10
Issue: 4
Year: 2012
Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach

Author(s): Marcelo Brutti Righi | Paulo Sergio Ceretta
Volume: 10
Issue: 4
Year: 2012
Opaqueness and Bank Risk Taking

Author(s): Patrick Behr
Volume: 10
Issue: 4
Year: 2012
The Payout Decision-Making Process of Brazilian Listed Companies: A CFO Survey

Author(s): Roberto Frota Decourt | Jairo Laser Procianoy
Volume: 10
Issue: 4
Year: 2012
Evaluating Asset Pricing Models in a Simulated Multifactor Approach

Author(s): Carlos Enrique Carrasco-Gutierrez | Wagner Piazza Gaglianone
Volume: 10
Issue: 4
Year: 2012
The Supply of Trade Credit by Brazilian Publicly Traded Firms

Author(s): Rafael Felipe Schiozer | João Alberto Peres Brando
Volume: 9
Issue: 4
Year: 2011
Returns Predictability and Stock Market Efficiency in Brazil

Author(s): Regis Augusto Ely
Volume: 9
Issue: 4
Year: 2011
Reserves and Valuation using Multiples for Oil and Gas Companies

Author(s): Eduardo Pontual Ribeiro | Luiz Teles Menezes Neto | Rosemarie Bröker Bone
Volume: 9
Issue: 4
Year: 2011
Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis

Author(s): Gustavo Passarelli Giroud Joaquim | Marcelo Leite Moura
Volume: 9
Issue: 4
Year: 2011
The Effects of Price Stabilization on Short-Term Returns of IPOs

Author(s): Douglas Beserra Pinheiro | Antonio Gledson de Carvalho
Volume: 9
Issue: 4
Year: 2011
Long-Short Market Neutral and Index Tracking Strategies Based on Cointegrated Portfolios

Author(s): João Frois Caldeira | Marcelo Savino Portugal
Volume: 8
Issue: 4
Year: 2010
Determinants of Price Stabilization in IPOs

Author(s): Antonio Gledson de Carvalho | Douglas Beserra Pinheiro
Volume: 8
Issue: 4
Year: 2010
Estimating Stocks Return with Decomposition of the Book-to-Market Ratio: Evidences from Bovespa

Author(s): Juliano Ribeiro de Almeida | William Eid Jr.
Volume: 8
Issue: 4
Year: 2010
Loss Aversion: A Comparison of Investment Decision Making Between Individual Investors and Pension Funds in Brazil

Author(s): Luiz Augusto Martits | William Eid Junior
Volume: 7
Issue: 4
Year: 2009
The Corporate Governance of Privately Controlled Brazilian Firms

Author(s): Bernard S. Black | Antonio Gledson de Carvalho | Érica C. R. Gorga
Volume: 7
Issue: 4
Year: 2009
Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?

Author(s): Ronny Kim Woo | José Valentim Machado Vicente | Claudio Henrique Barbedo
Volume: 7
Issue: 4
Year: 2009
The Disposition Effect in the Brazilian Equity Fund Industry

Author(s): Elton Tizziani | Marcelo Cabus Klotzle | Walter Less Ness Jr. | Luiz Felipe Motta
Volume: 8
Issue: 4
Year: 2010
Long-Short Fund Performance Evaluation in Brazil

Author(s): Fábio Augusto Reis Gomes | Vicente Cresto
Volume: 8
Issue: 4
Year: 2010
Valuation of Discrete Barrier American Options

Author(s): Giuliano Carroza Uzêda Iorio de Souza | Carlos Patrício Samanez
Volume: 7
Issue: 4
Year: 2009
An Empirical Analysis of the Financing Policies Adopted by Brazilian Public Companies

Author(s): Fernando Nascimento Oliveira | Pedro Góes Monteiro de Oliveira
Volume: 7
Issue: 4
Year: 2009
Development of a Behavioral Performance Measure

Author(s): Marcelo Cabus Klotzle | Leonardo Lima Gomes | Luiz Eduardo Teixeira Brandão | Antonio Carlos Figueiredo Pinto
Volume: 10
Issue: 3
Year: 2012
Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market

Author(s): André Alves Portela Santos | Cristina Tessari
Volume: 10
Issue: 3
Year: 2012
A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting

Author(s): Leandro Maciel
Volume: 10
Issue: 3
Year: 2012
Latent Fundamentals Arbitrage with a Mixed Effects Factor Model

Author(s): Andrei Salem Gonçalves | Robert Aldo Iquiapaz | Aureliano Angel Bressan
Volume: 10
Issue: 3
Year: 2012
Performance Convergence Analysis of Stock Exchanges: the Situation of the Ibovespa in the World Scenario

Author(s): Paulo Rogério Faustino Matos | Christiano Modesto Penna | Maria Nazareth Landim
Volume: 9
Issue: 3
Year: 2011
Generating Interest Rate Stress Scenarios

Author(s): Alan De Genaro Dario | Mariela Fernández
Volume: 9
Issue: 3
Year: 2011
Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market

Author(s): Márcio André Veras Machado | Otávio Ribeiro de Medeiros
Volume: 9
Issue: 3
Year: 2011
Hedge Effectiveness in the Brazilian US Dollar Futures Market

Author(s): Marcelo Cabus Klotzle | Antonio Carlos Figueiredo Pinto | Mario Domingues Simões | Leonardo Lima Gomes
Volume: 9
Issue: 3
Year: 2011
Modeling Financial Contagion using Copula

Author(s): Pedro Luiz Valls Pereira | Ricardo Pires de Souza Santos
Volume: 9
Issue: 3
Year: 2011
Cost of Capital when Dividends are Deductible

Author(s): Ignacio Velez-Pareja | Julian Benavides Franco
Volume: 9
Issue: 3
Year: 2011
Evaluating cash benefits as real options for a commodity producer in an emerging market

Author(s): Fernando Antonio Lucena Aiube | Edison Americo Huarsaya Tito
Volume: 7
Issue: 3
Year: 2009
Securitization of Receivables - An Analysis of the Inherent Risks

Author(s): Fernando Antonio Perrone Pinheiro | José Roberto Ferreira Savoia
Volume: 7
Issue: 3
Year: 2009
Determining the Optimum Level of Diversification of Home Broker Investors

Author(s): Fernando Nascimento de Oliveira | Eduardo Lana de Paula
Volume: 6
Issue: 3
Year: 2008
Measuring Bank Efficiency in Brazil – The Inclusion of Macro-prudential Indicators

Author(s): Cláudio Ruiz | Benjamin Miranda Tabak | Daniel Oliveira Cajueiro
Volume: 6
Issue: 3
Year: 2008
The Relevance of the Bank Lending Channel in Brazil

Author(s): Fernando Nascimento de Oliveira | Renato da Motta Andrade Neto
Volume: 6
Issue: 3
Year: 2008
The Influence of Corporate Relationships Networks on the Performance of Firms in the Novo Mercado of BOVESPA

Author(s): Wesley Mendes-da-Silva | Luciano Rossoni | Diógenes Leiva Martin | Roy Martelanc
Volume: 6
Issue: 3
Year: 2008
Overconfidence, Managerial Optimism, and the Determinants of Capital Structure

Author(s): Lucas Ayres B. de C. Barros | Alexandre di Miceli da Silveira
Volume: 6
Issue: 3
Year: 2008
Securitization in the Brazilian Banking Industry: An Empirical Study

Author(s): Gustavo Campos Catão | Raimundo Nonato Rodrigues | Jeronymo José Libonati | Umbelina Cravo Teixeira Lagioia
Volume: 7
Issue: 3
Year: 2009
Editorial Note

Author(s): Ricardo P. C. Leal
Volume: 8
Issue: 3
Year: 2010
An Application of the Real Options Method to the Valuation of a License to Operate 3G Mobile Phone Service in Brazil.

Author(s): Rafael Stille | Celso F. Lemme | Luiz Eduardo T. Brandão
Volume: 8
Issue: 3
Year: 2010
Effects of Price Stabilization in IPOs on Long-run Liquidity

Author(s): Rodrigo Andrade Tolentino | Antonio Gledson de Carvalho
Volume: 8
Issue: 3
Year: 2010
Advertising Expenditures Interaction with Business Cycles and Firm Value: An Empirical Analysis with US Companies

Author(s): Graziela Fortunato | Walter L. Ness | Arilton Teixeira | Paulo Cesar Motta
Volume: 8
Issue: 3
Year: 2010
Wavelet Smoothed Empirical Copula Estimators

Author(s): Pedro Alberto Morettin | Clélia Maria de Castro Toloi | Chang Chiann | José Carlos Simon de Miranda
Volume: 8
Issue: 3
Year: 2010
Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market

Author(s): Pedro Gabriel Boainain | Pedro L. Valls Pereira
Volume: 7
Issue: 3
Year: 2009
Time Series Properties of Quarterly Earnings of Brazilian Open Companies

Author(s): Thiago Rocha Fabris | Newton C. A. Costa Jr.
Volume: 8
Issue: 3
Year: 2010
Editorial Note

Author(s): Ricardo Pereira Câmara Leal
Volume: 7
Issue: 3
Year: 2009
An Alternative Model of Risk in Non-financial Companies Applied to the Brazilian Pulp and Paper Industry

Author(s): Hsia Hua Sheng | Cristiane Karcher | Paulo Hubert Jr.
Volume: 7
Issue: 3
Year: 2009
The effects of the introduction of market makers in the Brazilian equity market

Author(s): Marcelo Perlin
Volume: 11
Issue: 2
Year: 2013
The probability of informed trading in the Brazilian stock market

Author(s): Orleans Silva Martins | Edilson Paulo
Volume: 11
Issue: 2
Year: 2013
What drives forex interventions? Evidence from the Brazilian Central Bank interventions on the BRL/USD market

Author(s): Felipe Wolk Teixeira | Roberto Meurer | André Alves Portela Santos
Volume: 11
Issue: 2
Year: 2013
Determinants of the inclusion in the BM&FBOVESPA Corporate Sustainability Index and its relationship with firm value

Author(s): Lélis Pedro Andrade | Aureliano Angel Bressan | Robert Aldo Iquiapaza | Bruno César de Melo Moreira
Volume: 11
Issue: 2
Year: 2013
Inter-temporal CAPM: an empirical test with Brazilian market data

Author(s): Octavio Portolano Machado | Adriana Bruscato Bortoluzzo | Sérgio Ricardo Martins | Antonio Zoratto Sanvicente
Volume: 11
Issue: 2
Year: 2013
Determinants of Transactions Costs in the Brazilian Stock Market

Author(s): Antonio Zoratto Sanvicente
Volume: 10
Issue: 2
Year: 2012
Raffle Risk Valuation in With-Raffle Savings Account

Author(s): Eduardo Fraga Lima de Melo | Sergio Luis Franklin Jr. | César da Rocha Neves
Volume: 10
Issue: 2
Year: 2012
Mean Reversion with Drift and Real Options in Steel Industry

Author(s): Luiz de Magalhães Ozorio | Carlos de Lamare Bastian-Pinto | Tara Nanda Baidya | Luiz Eduardo Teixeira Brandão
Volume: 10
Issue: 2
Year: 2012
Country Factors and Dynamic Capital Structure in Latin American Firms

Author(s): Leonel Rodrigues Bogéa Sobrinho | Hsia Hua Sheng | Mayra Ivanoff Lora
Volume: 10
Issue: 2
Year: 2012
Abnormal Returns in the Ibovespa Using Models for High-Frequency Data

Author(s): Nelson Ferreira Fonseca | Wagner Moura Lamounier | Aureliano Angel Bressan
Volume: 10
Issue: 2
Year: 2012
Asymmetry and Risk Premia in the Brazilian Term Structure of Interest Rates

Author(s): Marcelo Ganem | Tara Keshar Nanda Baidya
Volume: 9
Issue: 2
Year: 2011
Evidence of speculative bubbles on the BOVESPA: an application of the Kalman filter

Author(s): Thiago Bergmann de Queiroz | Otávio Ribeiro de Medeiros | José Carneiro da Cunha Oliveira Neto
Volume: 9
Issue: 2
Year: 2011
Short-Run Asset Selection using a Logistic Model

Author(s): Walter Gonçalves Junior | Fábio Gallo Garcia | William Eid Junior | Luciana Ribeiro Chalela
Volume: 9
Issue: 2
Year: 2011
Intraday volatility forecasting: analysis of alternative distributions

Author(s): Paulo Sérgio Ceretta | Fernanda Galvão de Barba | Kelmara Mendes Vieira | Fernando Casarin
Volume: 9
Issue: 2
Year: 2011
Determinants of Success in Private Equity-Venture Capital Investments

Author(s): Eduardo Madureira Rodrigues Siqueira | Antonio Gledson de Carvalho | Humberto Gallucci Netto
Volume: 9
Issue: 2
Year: 2011
Modeling House Pricing in the Real Estate Market of São Paulo City

Author(s): Denisard Cneio de Oliveira Alves | Joe Akira Yoshino | Paula Carvalho Pereda | Carla Jucá Amrein
Volume: 9
Issue: 2
Year: 2011
Corrigendum

Author(s): Ricardo Pereira Câmara Leal
Volume: 9
Issue: 2
Year: 2011
Effects of Intervention in the Spot Currency Market on the BRL/USD Exchange Rate from 1999 to 2008: an Event Study

Author(s): Roberto Meurer | Felipe Wolk Teixeira | Eduardo Cardeal Tomazzia
Volume: 8
Issue: 2
Year: 2010
Variance Swaps in BM&F: Pricing and Viability of Hedge

Author(s): Richard John Brostowicz Junior | Márcio Poletti Laurini
Volume: 8
Issue: 2
Year: 2010
The Out-of-Sample Performance of Robust Portfolio Optimization

Author(s): André Alves Portela Santos
Volume: 8
Issue: 2
Year: 2010
Learning Theory and Equity Valuation: an Empirical Analysis

Author(s): Antonio Zoratto Sanvicente | Renato Teles Delgado
Volume: 8
Issue: 2
Year: 2010
Market Reaction to the Approval of Stock Option Plans: an Event Study of Bovespa Listed Companies

Author(s): Aline Barreto dos Santos | Fernanda Finotti Cordeiro Perobelli
Volume: 7
Issue: 2
Year: 2009
Performance Comparison of Active and Passive Stock Funds Comparação do Desempenho dos Fundos de Ações Ativos e Passivos

Author(s): Bruno Ribeiro Castro | Andrea Maria Accioly Fonseca Minardi
Volume: 7
Issue: 2
Year: 2009
Estimando Combinacões de Risco e Retorno para Novos Fundos Derivativos Estimating Risk and Return Combinations for New Derivatives Funds

Author(s): Ney Roberto Ottoni de Brito | Alexandre Bona | Affonso Tarciro, Jr.
Volume: 2
Issue: 2
Year: 2004
Alocação de Carteiras Sujeitas a Risco de Crédito Portfolio Allocation Subject to Credit Risk

Author(s): Rogerio de Deus Oliveira | Caio Ibsen Rodrgues de Almeida
Volume: 1
Issue: 2
Year: 2003
Gestão Descentralizada de Carteiras Decentralized Portfolio Management

Author(s): Paulo Coutinho | Benjamin Miranda Tabak
Volume: 1
Issue: 2
Year: 2003
Retornos anormais e estratégias contrárias Abnormal Returns and Contrarian Strategies

Author(s): Marco Bonomo | Ivana Dall'Agnol
Volume: 1
Issue: 2
Year: 2003
Estimating Risk and Return Combinations for New Derivatives Funds

Author(s): Ney Roberto Ottoni de Brito | Alexandre Bona | Affonso Tarciro, Jr.
Volume: 2
Issue: 2
Year: 2004
Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model

Author(s): Luciano Martin Rostagno | Gilberto de Oliveira Kloeckner | João Luiz Becker
Volume: 2
Issue: 2
Year: 2004
Abnormal Returns and Contrarian Strategies

Author(s): Marco Bonomo | Ivana Dall'Agnol
Volume: 1
Issue: 2
Year: 2003
The Clientele Effect in the Brazilian Market: Are Investors Irrational?

Author(s): Jairo Laser Procianoy | Rodrigo dos Santos Verdi
Volume: 1
Issue: 2
Year: 2003
Portfolio Allocation Subject to Credit Risk

Author(s): Rogerio de Deus Oliveira | Caio Ibsen Rodrgues de Almeida
Volume: 1
Issue: 2
Year: 2003
Decentralized Portfolio Management

Author(s): Paulo Coutinho | Benjamin Miranda Tabak
Volume: 1
Issue: 2
Year: 2003
Basel II and Capital Requirement for Credit Risk in Brazil

Author(s): Marcio Holland | Guilherme Yanaka
Volume: 8
Issue: 2
Year: 2010
SWARCH and the implicit volatility of the Real/USD exchange rate

Author(s): Rafael Machado Santana | Rodrigo De Losso da Silveira Bueno
Volume: 6
Issue: 2
Year: 2008
Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts

Author(s): Ricardo Fuscaldi de Figueiredo Baptista | Pedro L. Valls Pereira
Volume: 6
Issue: 2
Year: 2008
Market Overreaction to Intangible Information

Author(s): Carlos Marcelo Lauretti | Eduardo Kazuo Kayo | Emerson Fernandes Marçal
Volume: 7
Issue: 2
Year: 2009
The Use of Currency Derivatives by Brazilian Companies: An Empirical Investigation

Author(s): José Luiz Rossi Júnior
Volume: 5
Issue: 2
Year: 2007
Is there a relationship between accounting and stock market returns in Brazil?

Author(s): Newton Carneiro Affonso da Costa Jr. | Roberto Meurer | César Medeiros Cupertino
Volume: 5
Issue: 2
Year: 2007
Modelling conversion options with a mean reversion motion

Author(s): Carlos L. Bastian-Pinto | Luiz E. T. Brandão
Volume: 5
Issue: 2
Year: 2007
Pricing Volatility Referenced Assets

Author(s): Alan De Genaro Dario
Volume: 4
Issue: 2
Year: 2006
Application of Compound Options in the Evaluation of American Puts

Author(s): José Ferreira Marinho Junior | Mauro Antonio Rincon
Volume: 4
Issue: 2
Year: 2006
Debt Structure of Public Brazilian Companies: an Empirical Study

Author(s): Cláudio R. Lucinda | Richard Saito
Volume: 3
Issue: 2
Year: 2005
Apreçando Derivativos de Crédito no Brasil Credit Derivatives Pricing in Brazil

Author(s): Jorge C. Kapotas | Pedro Paulo Schirmer | Marcelo M. Taddeo
Volume: 2
Issue: 2
Year: 2004
The Maximum Entropy Principle and the Modern Portfolio Theory

Author(s): Ailton Cassetari
Volume: 1
Issue: 2
Year: 2003
The Influence of Emotions on the Endowment Effect

Author(s): Flávia de Souza Costa Neves Cavazotte | Paulo Tavares Dias Filho | Otacílio Torres Vilas Boas
Volume: 7
Issue: 2
Year: 2009
The Impact of Foreign Asset Investments on the Performance of Brazilian Pension Funds

Author(s): Raphael Braga Silva | Roberto Moreno Moreira | Luiz Felipe Jacques Motta
Volume: 7
Issue: 2
Year: 2009
A Goodness-of-Fit Test with Focus on Conditional Value at Risk

Author(s): José Santiago Fajardo Barbachan | Aquiles Rocha de Farias | José Renato Haas Ornelas
Volume: 6
Issue: 2
Year: 2008
Board interlocking in Brazil: Director participation in multiple companies and its effect on the value of firms

Author(s): Rafael Liza Santos | Alexandre Di Miceli da Silveira
Volume: 5
Issue: 2
Year: 2007
Cash flow at risk: different estimation methods tested in the Brazilian steel industry

Author(s): Fernanda Finotti Cordeiro Perobelli | Flávia Vital Januzzi | Leandro Josias Sathler Berbet | Danilo Soares de Medeiros
Volume: 5
Issue: 2
Year: 2007
Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation

Author(s): Marcos Roberto Gois de Oliveira | Charles Ulises de Montreuil Carmona | José Lamartine Távora Junior
Volume: 4
Issue: 2
Year: 2006
Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors?

Author(s): Daniel Chrity | Márcio G. P. Garcia | Marcelo Cunha Medeiros
Volume: 4
Issue: 2
Year: 2006
Evaluation of Foreign Exchange Risk Capital Requirement Models

Author(s): Claudio H. da S. Barbedo | Gustavo S. Araújo | João Maurício S. Moreira | Ricardo S. Maia Clemente
Volume: 3
Issue: 2
Year: 2005
A Real Option Model with Uncertain, Sequential Investment and with Time to Build

Author(s): Guilherme B. Martins | Marcos Eugênio da Silva
Volume: 3
Issue: 2
Year: 2005
Avaliando Drawdown-at-Risk nas Taxas de Câmbio do Real Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates

Author(s): Vinicius Ratton Brandi | Beatriz Vaz de Melo Mendes
Volume: 2
Issue: 2
Year: 2004
The Uncovered Interest Parity in the Foreign Exchange (FX) Markets

Author(s): Joe Akira Yoshino | Silvio Ricardo Micheloto
Volume: 2
Issue: 2
Year: 2004
Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates

Author(s): Vinicius Ratton Brandi | Beatriz Vaz de Melo Mendes
Volume: 2
Issue: 2
Year: 2004
The Market Reaction to Changes in the Brazilian Stock Exchange Indexes

Author(s): Jairo Laser Procianoy | Rodrigo S. Verdi
Volume: 4
Issue: 2
Year: 2006
Non-Linear Transaction Costs Inclusion in Mean-Variance Optimization

Author(s): José Euclides de Melo Ferraz | Christian Johannes Zimmer
Volume: 3
Issue: 2
Year: 2005
Market Efficiency and Performance of Multimarket Funds

Author(s): Rodrigo Fernandes Malaquias | William Eid Junior
Volume: 11
Issue: 1
Year: 2013
Minimum Variance Portfolios in the Brazilian Equity Market

Author(s): Alexandre Rubesam | André Lomonaco Beltrame
Volume: 11
Issue: 1
Year: 2013
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy

Author(s): João Frois Caldeira | Gulherme Valle Moura
Volume: 11
Issue: 1
Year: 2013
Discretionary Actions in Measuring Derivatives as a Mechanism for Earnings Management in Banks

Author(s): José Alves Dantas | Fernando Caio Galdi | Lúcio Rodrigues Capelletto | Otávio Ribeiro Medeiros
Volume: 11
Issue: 1
Year: 2013
Tips on Writing a Referee's Report

Author(s): Wayne Ferson | John Matsusaka
Volume: 11
Issue: 1
Year: 2013
Brazilian Review of Finance 2012 Editorial Report

Author(s): Ricardo Pereira Câmara Leal
Volume: 11
Issue: 1
Year: 2013
Corporate Governance and Information Incorporation Speed: Lead-Lag between the IGC and IBrX

Author(s): José Carneiro da Cunha Oliveira Neto | Otávio Ribeiro de Medeiros | Thiago Bergmann de Queiroz
Volume: 10
Issue: 1
Year: 2012
Employee Stock Options Plans and the Value of Brazilian Companies

Author(s): Fernanda Finotti Cordeiro Perobelli | Bruno de Souza Lopes | Alexandre Di Miceli da Silveira
Volume: 10
Issue: 1
Year: 2012
Measuring the Spread Components of Oil and Gas Companies from CDS

Author(s): Juliano Ribeiro de Almeida | Guilherme Ribeiro de Almeida
Volume: 10
Issue: 1
Year: 2012
Volatility Estimation and Forecasting During Crisis Periods: A Study Comparing GARCH Models with Semiparametric Additive Models

Author(s): Douglas Gomes dos Santos | Flávio Augusto Ziegelmann
Volume: 10
Issue: 1
Year: 2012
The Impact of Fiscal Policy on Emerging Markets Sovereign Spreads

Author(s): Katia Rocha | Ajax Moreira
Volume: 10
Issue: 1
Year: 2012
Financial Stability and Market Structure: International Evidence

Author(s): Marcos Soares da Silva | José Angelo Divino
Volume: 10
Issue: 1
Year: 2012
Editorial Report - 2011

Author(s): Ricardo Pereira Camara Leal
Volume: 10
Issue: 1
Year: 2012
Accounting and Economic Rates of Return: A Dynamic Econometric Investigation

Author(s): Rodrigo M. Zeidan | Marcelo Resende
Volume: 8
Issue: 1
Year: 2010
Pricing Asian Interest Rate Options with a Three-Factor HJM Model

Author(s): Claudio Henrique Barbedo | Octávio Bessada de Lion | José Valentim Machado Vicente
Volume: 8
Issue: 1
Year: 2010
Electricity Contracts Portfolio Selection Based on the Optimization of the Omega Measurement

Author(s): Leonardo Lima Gomes | Luiz Eduardo Brandão | Antônio Carlos Figueiredo Pinto
Volume: 8
Issue: 1
Year: 2010
Annual Editorial Report - 2008 Relatório Anual de Gestão - 2008

Author(s): Ricardo Pereira Câmara Leal
Volume: 7
Issue: 1
Year: 2009
Bovespa New Markets Adoption - Novo Mercado, Nível 1 and Nível 2, Determinants and Consequences

Author(s): Jairo Laser Procianoy | Rodrigo Verdi
Volume: 7
Issue: 1
Year: 2009
Ratings of Sovereign Risk and the Macroeconomics Fundamentals of the countries: a Study Using Artificial Neural Networks

Author(s): Bruno Ferreira Frascaroli | Luciano da Costa Silva | Osvaldo Cândido da Silva Filho
Volume: 7
Issue: 1
Year: 2009
Local Estimation of Copula Based Value-at-Risk

Author(s): Eduardo F. L. de Melo | Beatriz Vaz de Melo Mendes
Volume: 7
Issue: 1
Year: 2009
Determinando a fronteira eficiente em uma situação de momentos estocásticos Determining an Efficient Frontier in a Stochastic Moment Setting

Author(s): Christian Johannes Zimmer | Beat Matthias Niederhauser
Volume: 2
Issue: 1
Year: 2004
Análise de índices versus análise de regressão: evidência empírica no Brasil Ratio Versus Regression Analysis: Some Empirical Evidence in Brazil

Author(s): José Paulo de Lucca Ramos | Newton Carneiro Affonso da Costa Jr.
Volume: 2
Issue: 1
Year: 2004
Apreçamento de contratos de volatilidade a termo no mercado brasileiro Forward Volatility Contract Pricing in the Brazilian Market

Author(s): Jorge C. Kapotas | Pedro Paulo Schirmer | Sandro Magalhães Manteiga
Volume: 2
Issue: 1
Year: 2004
Bidding Strategies in Brazilian Treasury Auctions

Author(s): Anderson Caputo Silva
Volume: 1
Issue: 1
Year: 2003
Applications of Real Options in the Real Estate Market Focusing the City of Rio de Janeiro

Author(s): Priscilla Yung Medeiros
Volume: 1
Issue: 1
Year: 2003
Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock

Author(s): João Gabe | Marcelo Savino Portugal
Volume: 2
Issue: 1
Year: 2004
Ratio Versus Regression Analysis: Some Empirical Evidence in Brazil

Author(s): José Paulo de Lucca Ramos | Newton Carneiro Affonso da Costa Jr.
Volume: 2
Issue: 1
Year: 2004
Central Bank Transparency and Financial Market: Evidence for the Brazilian Case

Author(s): Helder Ferreira de Mendonça | José Simão Filho
Volume: 9
Issue: 1
Year: 2011
Equity Valuation and Accounting Numbers: Applying Zhang (2000) and Zhang and Chen (2007) models to Brazilian Market

Author(s): Fernando Caio Galdi | Rodrigo Falco Lopes
Volume: 9
Issue: 1
Year: 2011
Conditional CAPM in the Brazilian Market: a study of the Moment, Size and Book to Market effects between 1995 and 2008

Author(s): Frederico Valle e Flister | Aureliano Angel Bressan | Hudson Fernandes Amaral
Volume: 9
Issue: 1
Year: 2011
Giving Flexibility to the Nelson-Siegel Class of Term Structure Models

Author(s): Rafael Barros de Rezende
Volume: 9
Issue: 1
Year: 2011
Recovering Risk-Neutral Densities from Brazilian Interest Rate Options

Author(s): José Renato Haas Ornelas | Marcelo Yoshio Takami
Volume: 9
Issue: 1
Year: 2011
Editorial Report – 2010

Author(s): Ricardo Pereira Câmara Leal
Volume: 9
Issue: 1
Year: 2011
Constructing Binomial Trees Via Random Maps for Analysis of Financial Assets

Author(s): Antonio Airton Carneiro de Freitas | José Roberto Securato
Volume: 8
Issue: 1
Year: 2010
The Effect of Institutions on the External Financing of The Brazilian Firms

Author(s): Antonio Gledson De Carvalho
Volume: 7
Issue: 1
Year: 2009
Dynamic Lévy Copulas and their Applications in the Pricing of Multidimensional Option with Path Dependence

Author(s): Edson Bastos e Santos | Nelson Ithiro Tanaka
Volume: 6
Issue: 1
Year: 2008
Financial links between the stock market and the debt securities market

Author(s): Francisco Eduardo de Luna e Almeida Santos
Volume: 6
Issue: 1
Year: 2008
A Polynomial Term Structure Model with Macroeconomic Variables

Author(s): Felipe Pinheiro | Caio Ibsen Rodrigues de Almeida | José Valentim Vicente
Volume: 5
Issue: 1
Year: 2007
Genetic Algorithms for Development of New Financial Products

Author(s): Eder Oliveira Abensur
Volume: 5
Issue: 1
Year: 2007
Does Idiosyncratic Risk Matter in the Brazilian Capital Market?

Author(s): Fernando Caio Galdi | José Roberto Securato
Volume: 5
Issue: 1
Year: 2007
Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil

Author(s): Marcos Massaki Abe | Eui Jung Chang | Benjamin Miranda Tabak
Volume: 5
Issue: 1
Year: 2007
Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies

Author(s): Alan Cosme Rodrigues da Silva | Claudio Henrique da Silveira Barbedo | Gustavo Silva Araújo | Myrian Beatriz Eiras das Neves
Volume: 4
Issue: 1
Year: 2006
Bookbuilding and Strategic Allocation: Evidence from the Brazilian Stock Market

Author(s): Richard Saito | José André C. M. Pereira
Volume: 4
Issue: 1
Year: 2006
A Multi-Period Mean-Variance Portfolio Selection Problem

Author(s): Oswaldo Luiz do Valle Costa | Rodrigo de Barros Nabholz
Volume: 3
Issue: 1
Year: 2005
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation

Author(s): Cícero Augusto Vieira Neto | Pedro L. Valls Pereira
Volume: 3
Issue: 1
Year: 2005
Corporate Governance Index, Firm Valuation and Performance in Brazil

Author(s): André Luiz Carvalhal da Silva | Ricardo Pereira Câmara Leal
Volume: 3
Issue: 1
Year: 2005
The Dynamics of the Option-Adjusted Spread of Brady Bond Securities

Author(s): Franklin de O. Gonçalves | Luiz Otavio Calôba
Volume: 1
Issue: 1
Year: 2003
Performance Evaluation and Market Timing: the Skill Index

Author(s): Ney Roberto Otoni de Brito
Volume: 1
Issue: 1
Year: 2003
Forward Volatility Contract Pricing in the Brazilian Market

Author(s): Jorge C. Kapotas | Pedro Paulo Schirmer | Sandro Magalhães Manteiga
Volume: 2
Issue: 1
Year: 2004
Determining an Efficient Frontier in a Stochastic Moment Setting

Author(s): Christian Johannes Zimmer | Beat Matthias Niederhauser
Volume: 2
Issue: 1
Year: 2004
Annual Editorial Report

Author(s): Ricardo Pereira Camara Leal
Volume: 8
Issue: 1
Year: 2010
Equity Market Timing: Testing Using Brazilian IPOs

Author(s): José Luiz Rossi Jr | Marcelo Marotta
Volume: 8
Issue: 1
Year: 2010
The Choice of Financing: a Theoretical Model

Author(s): Cláudio R. Lucinda | Richard Saito
Volume: 7
Issue: 1
Year: 2009
Finance journals: characteristics of the main periodicals, important authors, and most cited articles

Author(s): Flávia Cruz de Souza | José Alonso Borba | Newton Carneiro Affonso da Costa Jr. | Fernando Dal-Ri Murcia
Volume: 6
Issue: 1
Year: 2008
Application of Multiple Evaluation Models in Brazil

Author(s): Rafael Victal Saliba
Volume: 6
Issue: 1
Year: 2008
On the Statistical Validation of Technical Analysis

Author(s): Giuliano Lorenzoni | Adrian Pizzinga | Rodrigo Atherino | Cristiano Fernandes | Rosane Riera Freire
Volume: 5
Issue: 1
Year: 2007
Foreign Capital Flow and the Ibovespa Performance

Author(s): Roberto Meurer
Volume: 4
Issue: 1
Year: 2006
Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach

Author(s): Marcelo C. Carvalho | Marco Aurélio S. Freire | Marcelo Cunha Medeiros | Leonardo R. Souza
Volume: 4
Issue: 1
Year: 2006
Corporate Attributes, Corporate Governance Quality, and the Value of Public Brazilian Companies

Author(s): Alexandre Di Miceli da Silveira | Lucas Ayres B. de C. Barros | Rubens Famá
Volume: 4
Issue: 1
Year: 2006
Measuring the Influence of the US Market over Observed Interdependencies in Latin America

Author(s): Alba Regina Moretti | Beatriz Vaz de Melo Mendes
Volume: 3
Issue: 1
Year: 2005
Heston Model Calibration in the Brazilian Foreign Exchange (FX) Options Market

Author(s): Marcelo Nóbrega da Costa | Joe Akira Yoshino
Volume: 2
Issue: 1
Year: 2004
Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates

Author(s): Benjamin Miranda Tabak | Sandro Canesso de Andrade
Volume: 1
Issue: 1
Year: 2003
Annual Editorial Report - 2007

Author(s): Ricardo Pereira Câmara Leal
Volume: 6
Issue: 1
Year: 2008
An Essay on the Foreign Exchange Rate Expectations in Brazil

Author(s): Wagner Piazza Gaglianone | Ana Luiza Louzada Pereira
Volume: 3
Issue: 1
Year: 2005
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