Forecasting financial crises has enormous practical importance. In this paper we propose a new measure of risk of extreme loss using data of a cross-section of asset prices. This measure presents as practical advantage the fact that it does not depend on the existence of a liquid market of...

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a...

The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close to the money options. In this article we test the SVFPS model using...

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 Diebold and Li (2006). Empirical results suggest...

This study analyzes the processes that explain high performance work system (HPWS) effect on company performance in small and medium size enterprises (SMEs). This study tests this relationship in SMEs by selecting three high performance work practices (HPWP) and an outcome variable based on the...

This study, conducted along the year 2003, was held in the environment of a cement company plant located in the São Paulo State. That industry has used carbon black as predominant energetic source which besides resulting a huge emission of gases (CO and CO2) into the atmosphere, has been more...

Currently, Brazil is the greatest worldwide producer and exporter of sugar. Therefore, it is expected better defined forms to restrict high costs, which are normally present in many of the factors involved in the process of production and product commercialization. Under that context, this study...

Econometric models were developed to estimate the implicit prices for selected quality attributes of fresh peaches commercialized in the state of Sao Paulo. Such estimation is conducted in two stages of the distribution chain, namely, wholesale and retail sales. Data on the price and quality...