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Marcelo de Castro Orefice,Pedro L. Valls Pereira
Pág. 389 - 428
In this paper, we discuss the practice of portfolio pumping in Brazil. Although the topic is recurrent in other countries, few studies provide this analysis for the Brazilian case. The statistical study is elaborated in three stages: first, we considered...
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Andre Barbosa Oliveira,Pedro L. Valls Pereira
Pág. 197 - 225
Petroleum is an important energy commodity, being used in different activities, having a direct or indirect effect on several sectors in the economy. This commodity has unstable prices, as a result of geopolitical shocks as well as market shocks in the p...
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Vanessa Neumann Sulzbach,João Mergulhão,Pedro L. Valls Pereira
Pág. 7 - 43
The microstructure approach to exchange rates have received special attention in recent years, particularly because it highlights the existence of asymmetric information in this market. The Brazilian future FX market data provided from BM&F was used to t...
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Luis Fernando Pereira Azevedo,Pedro L. Valls Pereira
Pág. 571 - 630
VIX - Volatility Index - emerged as an alternative calculation of implied volatility in order to mitigate some problems encountered in models of the Black-Scholes. This kind of volatility is seen as the best predictor of future volatility, given that opt...
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Pedro Luiz Valls Pereira,Ricardo Pires de Souza Santos
Pág. 335 - 363
This article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis ...
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Pedro Gabriel Boainain,Pedro L. Valls Pereira
Pág. p. 265 - 303
Starting from an adapted version of Osler and Chang (1995) methodology, this article empirically evaluates the profitability of investment strategies based on identification of the Head and Shoulders chart pattern in the Brazilian stock market. For that ...
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Ricardo Fuscaldi de Figueiredo Baptista,Pedro L. Valls Pereira
Pág. 205 - 234
The purpose of this article is to investigate whether, how and when, from a statistical stand-point, Technical Analysis strategies tools hold true for the futures contract of Ibovespa Index, negotiated at the Brazilian Futures Exchange (?Bolsa Brasileira...
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Cícero Augusto Vieira Neto,Pedro L. Valls Pereira
Pág. pp. 19 - 54
This article deals with a model for the term structure of interest rates and the valuation of derivative contracts directly dependent on it. The work is of a theoretical nature and deals, exclusively, with continuous time models, making ample use of stoc...
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