Details about Benjamin Miranda Tabak

Access statistics for papers by Benjamin Miranda Tabak.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pta111

Working Papers

2009

1. Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization
   Working Papers Series, Central Bank of Brazil, Research Department
2. Concentração e Inadimplência nas Carteiras de Empréstimos dos Bancos Brasileiros
   Working Papers Series, Central Bank of Brazil, Research Department
3. Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks
   Working Papers Series, Central Bank of Brazil, Research Department View citations
4. Testes de contágio entre sistemas bancários - A crise do subprime
   Working Papers Series, Central Bank of Brazil, Research Department

2008

5. Characterizing the Brazilian Term Structure of Interest Rates
   Working Papers Series, Central Bank of Brazil, Research Department
   Also in Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] (2007)
   See also Journal Article in International Journal of Monetary Economics and Finance (2009)
6. Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions
   Working Papers Series, Central Bank of Brazil, Research Department

2007

7. A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives
   Working Papers Series, Central Bank of Brazil, Research Department
8. Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability
   Working Papers Series, Central Bank of Brazil, Research Department
9. Evaluation of Default Risk for The Brazilian Banking Sector
   Working Papers Series, Central Bank of Brazil, Research Department
10. Forecasting Bonds Yields in the Brazilian Fixed Income Market
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article in International Journal of Forecasting (2008)
11. Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department
12. Long-Range Dependence in Exchange Rates: the case of the European Monetary System
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2008)
13. PREDICTABILITY OF ECONOMIC ACTIVITY USING YIELD SPREADS: THE CASE OF BRAZIL
    Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]
14. The Stability-Concentration Relationship in the Brazilian Banking System
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2008)
15. The role of banks in the Brazilian Interbank Market: Does bank type matter?
    Working Papers Series, Central Bank of Brazil, Research Department

2006

16. AVALIAÇÃO DO RISCO SISTÊMICO DO SETOR BANCÁRIO BRASILEIRO
    Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]
17. An Analysis of Off-Site Supervision of Banks' Profitability, Risk and Capital Adequacy: a portfolio simulation approach applied to brazilian banks
    Working Papers Series, Central Bank of Brazil, Research Department View citations
18. Econophysics of interest rates and the role of monetary policy
    Quantitative Finance Papers, arXiv.org
19. Extração de Informação de Opções Cambiais no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department
20. Forecasting Interest Rates: an application for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations
21. Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article in Revista Brasileira de Economia (2006)
22. Long-range dependence in Interest Rates and Monetary Policy
    Quantitative Finance Papers, arXiv.org
23. Myopic Loss Aversion and House-Money Effect Overseas: an experimental approach
    Working Papers Series, Central Bank of Brazil, Research Department
24. The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2006)

2004

25. Tracking Brazilian Exchange Rate Volatility
    Econometric Society 2004 Far Eastern Meetings, Econometric Society

2003

26. Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates
    Working Papers Series, Central Bank of Brazil, Research Department View citations
27. On the Information Content of Oil Future Prices
    Working Papers Series, Central Bank of Brazil, Research Department
28. Optimal Monetary Rules: The Case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations
    See also Journal Article in Applied Economics Letters (2003)

2002

29. Causality and Cointegration in Stock Markets: The Case of Latin America
    Working Papers Series, Central Bank of Brazil, Research Department View citations
30. Delegated Portfolio Management
    Working Papers Series, Central Bank of Brazil, Research Department
31. Stock Returns and Volatility
    Working Papers Series, Central Bank of Brazil, Research Department
32. The Effects of the Brazilian ADRs Program on Domestic Market Efficiency
    Working Papers Series, Central Bank of Brazil, Research Department
33. The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article in Applied Financial Economics (2003)

2001

34. Decentralized Portfolio Management
    Working Papers Series, Central Bank of Brazil, Research Department
35. Is it Worth Tracking Dollar/Real Implied Volatility?
    Working Papers Series, Central Bank of Brazil, Research Department View citations
36. Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
    Working Papers Series, Central Bank of Brazil, Research Department View citations

Journal Articles

2009

1. Characterising the Brazilian term structure of interest rates
   International Journal of Monetary Economics and Finance, 2009, 2, (2), 103-114
   See also Working Paper (2008)
2. Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange
   International Review of Financial Analysis, 2009, 18, (1-2), 50-57
3. Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules
   European Journal of Operational Research, 2009, 194, (3), 814-820

2008

4. Forecasting bond yields in the Brazilian fixed income market
   International Journal of Forecasting, 2008, 24, (3), 490-497
   See also Working Paper (2007)
5. LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM
   International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (02), 199-223
   See also Working Paper (2007)
6. The stability-concentration relationship in the Brazilian banking system
   Journal of International Financial Markets, Institutions and Money, 2008, 18, (4), 388-397
   See also Working Paper (2007)

2007

7. Are implied volatilities more informative? The Brazilian real exchange rate case
   Applied Financial Economics, 2007, 17, (7), 569-576
8. Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
   Energy Economics, 2007, 29, (1), 28-36
9. Assessing financial instability: The case of Brazil
   Research in International Business and Finance, 2007, 21, (2), 188-202
10. Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market
    Economic Notes, 2007, 36, (3), 231-246
11. Realism Versus Statistical Efficiency: A Note on Contingent Valuation with Follow-up Queries
    Atlantic Economic Journal, 2007, 35, (4), 451-462

2006

12. Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
    Revista Brasileira de Economia, 2006, 60, (2), 193-209
    See also Working Paper (2006)
13. THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (08), 1377-1396
    See also Working Paper (2006)
14. Testing for predictability in equity returns for European transition markets
    Economic Systems, 2006, 30, (1), 56-78 View citations
15. The long-range dependence phenomena in asset returns: the Chinese case
    Applied Economics Letters, 2006, 13, (2), 131-133

2004

16. A note on the effects of monetary policy surprises on the Brazilian term structure of interest rates
    Journal of Policy Modeling, 2004, 26, (3), 283-287
17. Testing for predictability in emerging equity markets
    Emerging Markets Review, 2004, 5, (3), 295-316 View citations
18. Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore
    Applied Economics Letters, 2004, 11, (4), 255-258 View citations

2003

19. Optimal monetary rules: the case of Brazil
    Applied Economics Letters, 2003, 10, (5), 299-302 View citations
    See also Working Paper (2003)
20. The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case
    Applied Financial Economics, 2003, 13, (5), 369-378 View citations
    See also Working Paper (2002)