This work examines the determinants of the capital structure of Brazilian companies between the years 2000 and 2009. Based on quantile regression model and on the comparison with conventional models (least squares and fixed effects), the work provides better understanding of capital structure to...

We investigate the determinants of the capital structure of Brazilian companies between 2000 and 2009. We use a quantile regression model and compare its results with the ones provided by conventional models (least squares and fixed effects). We show that the effects of the capital structure...

In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to June 2000. Our results are in line with recent literature, suggesting that the implied volatility obtained from a...

Within a mean-variance model we analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in <i>n</i> different markets, which is called the optimal centralized portfolio. However, as there are many traders...

This paper presents a method for extracting risk neutral densities for exchange rate options. Implied volatility may be used as a forecast for future volatility and the predicted density to assess the future evolution of market expectations regarding prices in financial market. Implied skewness...

Within a dynamic programming approach we derive an optimal rule for the central bank to attain it's inflation targeting goals. The short-run nominal interest rate is used as an instrument to achieve monetary objectives. The model is tested for the Brazilian economy and compared with results...

In this paper, we examine optimal portfolio decisions within a decentralized framework. There are many portfolio managers choosing optimal portfolio weights in a mean-variance framework and taking decisions in a decentralized way. However, the overall portfolio may not be efficient, as the...

This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the...

In this paper the random walk hypothesis is tested for a set of daily Brazilian stock data given by the São Paulo Stock Exchange Index (IBOVESPA) in the period of 1986-1998. A rolling variance ratio test for different investment horizons was conducted, and it is concluded that prior to 1994 the...

This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used, by applying the methods...