This study explores the relationship between firm performance and business cycles. These cycles are deviations from the trend of an economy-wide variable, in our case, GDP. Using a sample of Brazilian listed firms and accounting measures of performance, we find a generally positive...

In this work we propose a methodology to compare different stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S. economy could be explained by relative factors linked to...

This paper compares the short-term load performance of several forecasting models, including a new class of nonlinear models known as smooth transition periodic autoregressive (STPAR) models. A model building procedure is developed for the STPAR model, along with a linearity test against smooth...

In electrical power systems with strong hydro generation, the use of adequate techniques to generate synthetic hydrological scenarios is extremely important for the evaluation of the ways the system behaves in order to meet the forecast energy demand. This paper proposes a new model to generate...