We analyze the problem of technology selection and capacity investment for electricity generation in a competitive environment under uncertainty. Adopting a Nash-Cournot competition model, we consider the marginal cost as the uncertain parameter, although the results can be easily generalized to...

Target costing is a widely used technique for cost management during product development (PD). Despite target costing's strategic intuitiveness, its operationalization during PD requires careful decomposition of a product's constituent cost elements. The main objective of this paper is to...

This paper assesses the relation between the yield curve and the main macroeconomic variables in the U.S. between early 1970s and 2000. We revisit the macro-finance model of Diebold et al. (2006) with the inclusion of a stochastic volatility structure for the latent factors and macroeconomic...

Este artigo aplica testes de cointegração para identificar pares de ações a serem usados numa estratégia pairs trading. Além de estimar as relações de equilíbrio de longo prazo e modelar os resíduos resultantes emprega-se um indicador de rentabilidade em simulações dentro da amostra...

This paper examines, for the Brazilian case, if break-even inflation rates (BEIR) extracted from fixed income securities are an unbiased estimator of consumer inflation, measured by the CPI. Our estimates suggest that BEIRs are informative about future inflation, especially for the maturity of...

We apply a parsimonious multivariate GARCH specication based on the Fama-French-Carhart factor model to generate high-dimensional conditional covariance matrices and to obtain shortselling-constrained and unconstrained minimum variance portfolios. An application involving 61 stocks traded on the...