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Estimating risk aversion, risk-neutral and real-world densities using brazilian real currency options
(2012)
This paper uses the Liu et al. (2007) approach to estimate the optionimplied Risk-Neutral Densities (RND), real-world density (RWD), and relative risk aversion from the Brazilian Real/US Dollar exchange rate distribution. ...
LONG TERM EXCHANGE RATE RISK AND HEDGING WITH QUANTITY UNCERTAINTY IN A MARKET THAT ONLY PROVIDES SHORT TERM FUTURES CONTRACTS
(CONSEJO LATINOAMERICANO ESCUELAS ADM-CLADEA, 2012)
This paper analyzes the problem faced by an investor expecting to receive an uncertain amount of cash flow in a foreign currency on a certain future date T. The investor is also assumed to be exposed to long-term exchange ...
Monetary policy, default risk and the exchange rate
(Escola de Pós-Graduação em Economia da FGV, 2007)
In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of ...
The São Paulo stock exchange and the economic stabilization
(SSRN, 2009-07)
The inflationary stabilization recently observed in Brazil brings a lot of changes in all aspects of the country’s economic life. In this work we look at the impacts on the stock market, specifically at Bovespa - the São ...
The Term Structure of Country Risk and Valuation in Emerging Markets
(Universidad de San Andrés. Departamento de Economía, 2002-04)
Value at risk using financial copulas: Application to the Mexican exchange rate (2002-2011)Valor en Riesgo utilizando cópulas financieras: aplicación al tipo de cambio mexicano (2002-2011)
(Pontificia Universidad Católica del Perú, 2012)
Exchange rate dynamics in Brazil
(2010-06-16)
The paper aims to investigate on empirical and theoretical grounds the Brazilian exchange rate dynamics under floating exchange rates. The empirical analysis examines the short and long term behavior of the exchange rate, ...
The Forecast Ability of Option-implied Densities from Emerging Markets Currencies
(Sociedade Brasileira de Econometria, 2016)
A Framework for the Active Management of a Global Currency FundA Framework for the Active Management of a Global Currency Fund
(Sociedade Brasileira de Econometria, 1997)