5 articles in this issue
Adonias Evaristo da Costa Filho
This paper estimates the term structure of natural interest rates for Brazil, a generalization of the concept of natural rate of interest for the yield curve. First, the Diebold-Li (2006) model is estimated with real yields. The latent factors of this mod... see more
Omar Abbara,Mauricio Zevallos
The paper assesses the method proposed by Shumway and Stoffer (2006, Chapter 6, Section 10) to estimate the parameters and volatility of stochastic volatility models. First, the paper presents a Monte Carlo evaluation of the parameter estimates considerin... see more
Luiz Guilherme Carpizo,Márcio Gomes Pinto Garcia
Despite the fall in the interest rate observed in Brazil in recent decades, and specific regulations on the private pension segment that encourage long-term risk taking, institutions in this segment appear to be considerably sensitive to short-term f... see more
Jaime Enrique Lincovil,Chang Chiann
Evaluating forecasts of risk measures, such as value–at–risk (VaR) and expected shortfall (ES), is an important process for financial institutions. Backtesting procedures were introduced to assess the efficiency of these forecasts. In this paper, we compa... see more
Rodrigo Zeidan,Christiano Vanzin
We investigate the relationship between cash conversion cycle (CCC) management and value creation. We extend a standard working capital management model to establish measurable hypotheses for privately owned companies in Brazil. We define hypotheses that ... see more