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Details about Benjamin Miranda Tabak

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Workplace:Escola de Políticas Públicas e Governo (EPPG) (School of Public Policy and Government), Fundação Getúlio Vargas (FGV) (Getulio Vargas Foundation), (more information at EDIRC)

Access statistics for papers by Benjamin Miranda Tabak.

Last updated 2019-09-17. Update your information in the RePEc Author Service.

Short-id: pta111


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Working Papers

2019

  1. Fiscal Risk and Financial Fragility
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Growth and Activity Diversification: the impact of financing non-traditional local activities
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. Heterogeneous effects of the implementation of macroprudential policies on bank risk
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  4. The Dark Side of Prudential Measures
    Working papers - Textos para Discussao do Curso de Ciencias Economicas da UFG, Curso de Ciencias Economicas da Universidade Federal de Goias - FACE Downloads

2018

  1. CONCESSÃO DE CRÉDITO DURANTE E APÓS A CRISE FINANCEIRA DE 2008 NO BRASIL. HOUVE HETEROGENEIDADE NAS OPERAÇÕES DE CRÉDITO?
    Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
  2. Economic Growth, Volatility and Their Interaction: What’s the role of finance?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Economic Systems (2017)
  3. Inflation Targeting and Financial Stability: does the quality of institutions matter?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Economic Modelling (2018)
  4. Interconnectedness, Firm Resilience and Monetary Policy
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2017

  1. Systemic Risk in Financial Systems: a feedback approach
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (4)
    See also Journal Article in Journal of Economic Behavior & Organization (2017)

2016

  1. Evaluating Systemic Risk using Bank Default Probabilities in Financial Networks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (16)
    See also Journal Article in Journal of Economic Dynamics and Control (2016)
  2. Financial Networks, Bank Efficiency and Risk-Taking
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (14)
    See also Journal Article in Journal of Financial Stability (2016)
  3. Modeling Financial Networks: a feedback approach
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
  4. Structure and Dynamics of the Global Financial Network
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (5)
  5. THE 2D:4D RATIO AND MYOPIC LOSS AVERSION (MLA): AN EXPERIMENTAL INVESTIGATION
    Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
    See also Journal Article in Journal of Behavioral and Experimental Finance (2015)
  6. Why Do Vulnerability Cycles Matter in Financial Networks?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)

2015

  1. Liquidity Performance Evaluation of the Brazilian Interbank Market using a Network-Based Approach
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)
  2. Monitoring Vulnerability and Impact Diffusion in Financial Networks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (9)
    See also Journal Article in Journal of Economic Dynamics and Control (2017)
  3. Network Structure Analysis of the Brazilian Interbank Market
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (4)
    See also Journal Article in Emerging Markets Review (2016)

2014

  1. Banking Systemic Risk, Foreign Funding, Exchange Rate Exposure and Carry Trade: is there a relation?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Do Interconnections Matter for Bank Efficiency?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
  3. Dynamic spanning trees in stock market networks: The case of Asia-Pacific
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (6)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)
  4. Inflation Targeting and Banking System Soundness: A Comprehensive Analysis
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  5. SYSTEMIC RISK MEASURES
    Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2013) Downloads View citations (4)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2016)
  6. The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  7. The Efficiency of Chinese Local Banks: A comparison of DEA and SFA
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2013

  1. Assessing Systemic Risk in the Brazilian Interbank Market
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (14)
  2. Asymmetric Effects of Monetary Policy in the U.S. and Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
    Also in DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2013) Downloads View citations (2)
  3. Complex Networks and Banking Systems Supervision
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (19)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2013)
  4. Contagion Risk within Firm-Bank Bivariate Networks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (7)
  5. Do Capital Buffers Matter? A Study on the Profitability and Funding Costs Determinants of the Brazilian Banking System
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  6. Existência de equilíbrio num jogo com bancarrota e agentes heterogêneos
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
  7. Exposição Cambial e Assunção de Risco dos Bancos Atuantes no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  8. How much random does European Union walk? A time-varying long memory analysis
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
  9. Insolvency and Contagion in the Brazilian Interbank Market
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)
  10. Mercados Financeiros Globais – Uma Análise da Interconectividade
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  11. Teste da Hipótese de Mercados Adaptativos para o Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2012

  1. A Geographically Weighted Approach in Measuring Efficiency in Panel Data: the Case of US Saving Banks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2013)
  2. Conectividade e Risco Sistêmico no Sistema de Pagamentos Brasileiro
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. Contagion in CDS, Banking and Equity Markets
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (6)
    See also Journal Article in Economic Systems (2016)
  4. Determinantes da Estrutura de Capital das Empresas Brasileiras: uma abordagem em regress˜ao quantílica
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  5. Pesquisa de Estabilidade Financeira do Banco Central do Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  6. Stress Testing Liquidity Risk: The Case of the Brazilian Banking System
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)
  7. The Impact of Market Power at Bank Level in Risk-taking: the Brazilian case
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
    See also Journal Article in International Review of Financial Analysis (2015)

2011

  1. BANK CAPITAL BUFFERS, LENDING GROWTH ANDECONOMIC CYCLE: EMPIRICAL EVIDENCE FOR BRAZIL
    Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads View citations (6)
  2. Bank Efficiency and Default in Brazil: Causality Tests
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (5)
  3. Comparação da Eficiência de Custo para BRICs e América Latina
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
  4. Contágioentre Índices Bancários: uma análisede correlação e co-assimetria
    Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
  5. Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)
  6. Forecasting the Yield Curve for the Euro Region
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Economics Letters (2012)
  7. Modeling Default Probabilities: the case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (7)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2011)
  8. O COMPORTAMENTOCÍCLICO DO CAPITAL DOS BANCOS BRASILEIROS
    Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2010) Downloads

    See also Journal Article in Economia (2010)
  9. Profit, Cost and Scale Efficiency for Latin American Banks: Concentration-Performance Relationship
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (6)
  10. The Relationship Between Banking Market Competition and Risk-taking: Do Size and Capitalization Matter?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (9)
    See also Journal Article in Journal of Banking & Finance (2012)

2010

  1. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)
    See also Journal Article in Journal of Financial Stability (2012)
  2. Determinants of Bank Efficiency: the case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (32)
    See also Journal Article in European Journal of Operational Research (2010)
  3. Eficiência Bancária e Inadimplência: testes de Causalidade
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
  4. Financial Fragility in a General Equilibrium Model: the Brazilian case
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
    See also Journal Article in Annals of Finance (2013)
  5. Financial Stability and Monetary Policy - The case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (4)
    See also Journal Article in Revista Brasileira de Economia - RBE (2013)
  6. Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (13)
    See also Journal Article in Finance Research Letters (2010)
  7. The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2011)

2009

  1. Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2010)
  2. Concentração e Inadimplência nas Carteiras de Empréstimos dos Bancos Brasileiros
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. Delegated Portfolio Management and Risk Taking Behavior
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in The European Journal of Finance (2010)
  4. Evolution of Bank Efficiency in Brazil: A DEA Approach
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (11)
    See also Journal Article in European Journal of Operational Research (2010)
  5. Forecasting the Yield Curve for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)
  6. Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (11)
  7. Testes de contágio entre sistemas bancários - A crise do subprime
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2008

  1. Characterizing the Brazilian Term Structure of Interest Rates
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)
    Also in Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2007) Downloads View citations (2)
  2. Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)

2007

  1. 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 Downloads
  2. Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
  3. Evaluation of Default Risk for The Brazilian Banking Sector
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  4. Forecasting Bonds Yields in the Brazilian Fixed Income Market
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (5)
    See also Journal Article in International Journal of Forecasting (2008)
  5. Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
    See also Journal Article in Brazilian Review of Finance (2007)
  6. Long-Range Dependence in Exchange Rates: the case of the European Monetary System
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (4)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2008)
  7. 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 Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads View citations (4)
  8. The Stability-Concentration Relationship in the Brazilian Banking System
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2008)
  9. The role of banks in the Brazilian Interbank Market: Does bank type matter?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (7)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)

2006

  1. 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 Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
  2. 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 Downloads View citations (6)
  3. Econophysics of interest rates and the role of monetary policy
    Papers, arXiv.org Downloads View citations (2)
  4. Extração de Informação de Opções Cambiais no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (7)
  5. Forecasting Interest Rates: an application for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (14)
  6. Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (13)
    See also Journal Article in Revista Brasileira de Economia - RBE (2006)
  7. Long-range dependence in Interest Rates and Monetary Policy
    Papers, arXiv.org Downloads
  8. Myopic Loss Aversion and House-Money Effect Overseas: an experimental approach
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  9. The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (16)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2006)

2004

  1. Tracking Brazilian Exchange Rate Volatility
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads View citations (1)

2003

  1. Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (16)
  2. On the Information Content of Oil Future Prices
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (16)
  3. Optimal Monetary Rules: The Case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
    See also Journal Article in Applied Economics Letters (2003)

2002

  1. Causality and Cointegration in Stock Markets: The Case of Latin America
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (18)
  2. Delegated Portfolio Management
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (19)
  3. Stock Returns and Volatility
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (33)
  4. The Effects of the Brazilian ADRs Program on Domestic Market Efficiency
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  5. 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 Downloads View citations (2)
    See also Journal Article in Applied Financial Economics (2003)

2001

  1. Decentralized Portfolio Management
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (19)
    See also Journal Article in Brazilian Review of Finance (2003)
  2. Is it Worth Tracking Dollar/Real Implied Volatility?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (24)
  3. Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (24)
    See also Journal Article in Brazilian Review of Finance (2003)

Journal Articles

2019

  1. Long-term forecast of energy commodities price using machine learning
    Energy, 2019, 179, (C), 214-221 Downloads

2018

  1. Adequacy of deterministic and parametric frontiers to analyze the efficiency of Indian commercial banks
    Physica A: Statistical Mechanics and its Applications, 2018, 506, (C), 1016-1025 Downloads
    See also Working Paper (2014)
  2. Bank lending and systemic risk: A financial-real sector network approach with feedback
    Journal of Financial Stability, 2018, 38, (C), 98-118 Downloads View citations (2)
  3. Inflation targeting and financial stability: Does the quality of institutions matter?
    Economic Modelling, 2018, 71, (C), 1-15 Downloads
    See also Working Paper (2018)

2017

  1. A comparison of DEA and SFA using micro- and macro-level perspectives: Efficiency of Chinese local banks
    Physica A: Statistical Mechanics and its Applications, 2017, 469, (C), 216-223 Downloads View citations (6)
  2. Economic growth, volatility and their interaction: What’s the role of finance?
    Economic Systems, 2017, 41, (3), 433-444 Downloads
    See also Working Paper (2018)
  3. Modeling stochastic frontier based on vine copulas
    Physica A: Statistical Mechanics and its Applications, 2017, 486, (C), 595-609 Downloads View citations (1)
  4. Monitoring vulnerability and impact diffusion in financial networks
    Journal of Economic Dynamics and Control, 2017, 76, (C), 109-135 Downloads View citations (8)
    See also Working Paper (2015)
  5. Not all emerging markets are the same: A classification approach with correlation based networks
    Journal of Financial Stability, 2017, 33, (C), 163-186 Downloads
  6. Systemic risk in financial systems: A feedback approach
    Journal of Economic Behavior & Organization, 2017, 144, (C), 97-120 Downloads View citations (4)
    See also Working Paper (2017)
  7. The effects of capital buffers on profitability: An empirical study
    Economics Bulletin, 2017, 37, (3), 1468-1473 Downloads View citations (1)
  8. Why do vulnerability cycles matter in financial networks?
    Physica A: Statistical Mechanics and its Applications, 2017, 471, (C), 592-606 Downloads View citations (4)
    See also Working Paper (2016)

2016

  1. Contagion in CDS, banking and equity markets
    Economic Systems, 2016, 40, (1), 120-134 Downloads View citations (7)
    See also Working Paper (2012)
  2. Dynamic efficiency of stock markets and exchange rates
    International Review of Financial Analysis, 2016, 47, (C), 353-371 Downloads View citations (8)
  3. Evaluating systemic risk using bank default probabilities in financial networks
    Journal of Economic Dynamics and Control, 2016, 66, (C), 54-75 Downloads View citations (16)
    See also Working Paper (2016)
  4. Financial networks, bank efficiency and risk-taking
    Journal of Financial Stability, 2016, 25, (C), 247-257 Downloads View citations (12)
    See also Working Paper (2016)
  5. Financial stability and bank supervision
    Finance Research Letters, 2016, 18, (C), 322-327 Downloads View citations (5)
  6. Network structure analysis of the Brazilian interbank market
    Emerging Markets Review, 2016, 26, (C), 130-152 Downloads View citations (18)
    See also Working Paper (2015)
  7. Systemic risk measures
    Physica A: Statistical Mechanics and its Applications, 2016, 442, (C), 329-342 Downloads View citations (6)
    See also Working Paper (2014)

2015

  1. Finance, Banking, and Regulation in Emerging Economies: An Overview
    Emerging Markets Finance and Trade, 2015, 51, (S6), S1-S2 Downloads
  2. Inflation targeting: Is IT to blame for banking system instability?
    Journal of Banking & Finance, 2015, 59, (C), 76-97 Downloads View citations (12)
  3. Insolvency and contagion in the Brazilian interbank market
    Physica A: Statistical Mechanics and its Applications, 2015, 431, (C), 140-151 Downloads View citations (14)
    See also Working Paper (2013)
  4. The 2D:4D ratio and Myopic Loss Aversion (MLA): An experimental investigation
    Journal of Behavioral and Experimental Finance, 2015, 5, (C), 81-84 Downloads View citations (1)
    See also Working Paper (2016)
  5. The impact of market power at bank level in risk-taking: The Brazilian case
    International Review of Financial Analysis, 2015, 40, (C), 154-165 Downloads View citations (4)
    See also Working Paper (2012)
  6. Time-varying long term memory in the European Union stock markets
    Physica A: Statistical Mechanics and its Applications, 2015, 436, (C), 147-158 Downloads View citations (14)

2014

  1. Directed clustering coefficient as a measure of systemic risk in complex banking networks
    Physica A: Statistical Mechanics and its Applications, 2014, 394, (C), 211-216 Downloads View citations (14)
    See also Working Paper (2011)
  2. Dynamic spanning trees in stock market networks: The case of Asia-Pacific
    Physica A: Statistical Mechanics and its Applications, 2014, 414, (C), 387-402 Downloads View citations (5)
    See also Working Paper (2014)
  3. Testing the Adaptive Markets Hypothesis for Brazil
    Brazilian Review of Finance, 2014, 12, (4), 517-553 Downloads

2013

  1. A geographically weighted approach to measuring efficiency in panel data: The case of US saving banks
    Journal of Banking & Finance, 2013, 37, (10), 3747-3756 Downloads View citations (6)
    See also Working Paper (2012)
  2. Complex networks and banking systems supervision
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (19), 4429-4434 Downloads View citations (14)
    See also Working Paper (2013)
  3. Determinants of the level of indebtedness for Brazilian firms: A quantile regression approach
    Economia, 2013, 14, (3–4), 123_138 Downloads
  4. Financial Stability and Monetary Policy - The case of Brazil
    Revista Brasileira de Economia - RBE, 2013, 67, (4) Downloads View citations (4)
    See also Working Paper (2010)
  5. Financial fragility in a general equilibrium model: the Brazilian case
    Annals of Finance, 2013, 9, (3), 519-541 Downloads View citations (2)
    See also Working Paper (2010)
  6. Systemically important banks and financial stability: The case of Latin America
    Journal of Banking & Finance, 2013, 37, (10), 3855-3866 Downloads View citations (22)

2012

  1. A macro stress test model of credit risk for the Brazilian banking sector
    Journal of Financial Stability, 2012, 8, (2), 69-83 Downloads View citations (22)
    See also Working Paper (2010)
  2. Forecasting the yield curve for the Euro region
    Economics Letters, 2012, 117, (2), 513-516 Downloads View citations (1)
    See also Working Paper (2011)
  3. The relationship between banking market competition and risk-taking: Do size and capitalization matter?
    Journal of Banking & Finance, 2012, 36, (12), 3366-3381 Downloads View citations (74)
    See also Working Paper (2011)

2011

  1. Commodity predictability analysis with a permutation information theory approach
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (5), 876-890 Downloads View citations (19)
  2. Modeling default probabilities: The case of Brazil
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (4), 513-534 Downloads View citations (6)
    See also Working Paper (2011)
  3. The effects of loan portfolio concentration on Brazilian banks' return and risk
    Journal of Banking & Finance, 2011, 35, (11), 3065-3076 Downloads View citations (31)
    See also Working Paper (2010)

2010

  1. Behaviour finance and estimation risk in stochastic portfolio optimization
    Applied Financial Economics, 2010, 20, (9), 719-738 Downloads
    See also Working Paper (2009)
  2. Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (9), 1891-1901 Downloads View citations (31)
  3. Delegated portfolio management and risk-taking behavior
    The European Journal of Finance, 2010, 16, (4), 353-372 Downloads
    See also Working Paper (2009)
  4. Determinants of bank efficiency: The case of Brazil
    European Journal of Operational Research, 2010, 207, (3), 1587-1598 Downloads View citations (29)
    See also Working Paper (2010)
  5. Estimating a Bayesian stochastic frontier for the Indian banking system
    International Journal of Production Economics, 2010, 125, (1), 96-110 Downloads View citations (9)
  6. Evolution of bank efficiency in Brazil: A DEA approach
    European Journal of Operational Research, 2010, 202, (1), 204-213 Downloads View citations (52)
    See also Working Paper (2009)
  7. Fluctuation dynamics in US interest rates and the role of monetary policy
    Finance Research Letters, 2010, 7, (3), 163-169 Downloads View citations (13)
    See also Working Paper (2010)
  8. O Comportamento Cíclico do Capital dos Bancos Brasileiros
    Economia, 2010, 11, (3), 671_690 Downloads
    See also Working Paper (2011)
  9. Topological properties of commodities networks
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 74, (2), 243-249 Downloads View citations (19)
  10. Topological properties of stock market networks: The case of Brazil
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (16), 3240-3249 Downloads View citations (35)

2009

  1. Banking concentration and the price-concentration relationship: the case of Brazil
    International Journal of Accounting and Finance, 2009, 1, (4), 415-435 Downloads View citations (2)
  2. Can we predict crashes? The case of the Brazilian stock market
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (8), 1603-1609 Downloads View citations (6)
  3. 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 Downloads View citations (53)
  4. Forbidden patterns, permutation entropy and stock market inefficiency
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (14), 2854-2864 Downloads View citations (25)
  5. 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 Downloads View citations (11)
  6. Quantifying price fluctuations in the Brazilian stock market
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (1), 59-62 Downloads View citations (4)
  7. TOPOLOGICAL PROPERTIES OF BANK NETWORKS: THE CASE OF BRAZIL
    International Journal of Modern Physics C (IJMPC), 2009, 20, (08), 1121-1143 Downloads View citations (1)
  8. Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis
    Applied Economics, 2009, 41, (21), 2681-2689 Downloads View citations (5)
  9. Tests of Random Walk: A Comparison of Bootstrap Approaches
    Computational Economics, 2009, 34, (4), 365-382 Downloads View citations (2)
  10. The expectation hypothesis of interest rates and network theory: The case of Brazil
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (7), 1137-1149 Downloads View citations (17)

2008

  1. A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: An Application to Brazilian Banks
    Brazilian Review of Econometrics, 2008, 28, (1) Downloads View citations (3)
  2. A multifractal approach for stock market inefficiency
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (26), 6558-6566 Downloads View citations (83)
  3. Forecasting bond yields in the Brazilian fixed income market
    International Journal of Forecasting, 2008, 24, (3), 490-497 Downloads View citations (12)
    See also Working Paper (2007)
  4. 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 Downloads View citations (5)
    See also Working Paper (2007)
  5. Measures of Interbank Market Structure: An Application to Brazil
    Brazilian Review of Econometrics, 2008, 28, (2) Downloads View citations (11)
  6. Measuring Bank Efficiency in Brazil – The Inclusion of Macro-prudential Indicators
    Brazilian Review of Finance, 2008, 6, (3), 413-438 Downloads
  7. The role of banks in the Brazilian interbank market: Does bank type matter?
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (27), 6825-6836 Downloads View citations (30)
    See also Working Paper (2007)
  8. The stability-concentration relationship in the Brazilian banking system
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (4), 388-397 Downloads View citations (15)
    See also Working Paper (2007)

2007

  1. Are implied volatilities more informative? The Brazilian real exchange rate case
    Applied Financial Economics, 2007, 17, (7), 569-576 Downloads View citations (4)
  2. 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 Downloads View citations (103)
  3. Assessing financial instability: The case of Brazil
    Research in International Business and Finance, 2007, 21, (2), 188-202 Downloads View citations (8)
  4. Characterizing bid–ask prices in the Brazilian equity market
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 627-633 Downloads View citations (2)
  5. Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market
    Economic Notes, 2007, 36, (3), 231-246 Downloads
  6. Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil
    Brazilian Review of Finance, 2007, 5, (1), 29-39 Downloads View citations (1)
    See also Working Paper (2007)
  7. Inefficiency in Latin-American market indices
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 60, (1), 111-121 Downloads View citations (16)
  8. Is the expression H=1/(3-q) valid for real financial data?
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 593-602 Downloads View citations (3)
  9. Long-range dependence and multifractality in the term structure of LIBOR interest rates
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 603-614 Downloads View citations (47)
  10. Realism Versus Statistical Efficiency: A Note on Contingent Valuation with Follow-up Queries
    Atlantic Economic Journal, 2007, 35, (4), 451-462 Downloads
  11. Testing for unit root bilinearity in the Brazilian stock market
    Physica A: Statistical Mechanics and its Applications, 2007, 385, (1), 261-269 Downloads View citations (4)

2006

  1. Assessing inefficiency in euro bilateral exchange rates
    Physica A: Statistical Mechanics and its Applications, 2006, 367, (C), 319-327 Downloads View citations (9)
  2. Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
    Revista Brasileira de Economia - RBE, 2006, 60, (2) Downloads View citations (1)
    See also Working Paper (2006)
  3. 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 Downloads View citations (10)
    See also Working Paper (2006)
  4. Testing for predictability in equity returns for European transition markets
    Economic Systems, 2006, 30, (1), 56-78 Downloads View citations (29)
  5. Testing for rational bubbles in banking indices
    Physica A: Statistical Mechanics and its Applications, 2006, 366, (C), 365-376 Downloads View citations (5)
  6. The long-range dependence phenomena in asset returns: the Chinese case
    Applied Economics Letters, 2006, 13, (2), 131-133 Downloads View citations (12)

2005

  1. An International Comparison of Banking Sectors: A DEA Approach
    Global Economic Review, 2005, 34, (3), 291-307 Downloads View citations (1)
  2. Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
    Physica A: Statistical Mechanics and its Applications, 2005, 351, (2), 512-522 Downloads View citations (6)
  3. Possible causes of long-range dependence in the Brazilian stock market
    Physica A: Statistical Mechanics and its Applications, 2005, 345, (3), 635-645 Downloads View citations (9)
  4. Testing for time-varying long-range dependence in volatility for emerging markets
    Physica A: Statistical Mechanics and its Applications, 2005, 346, (3), 577-588 Downloads View citations (51)
  5. The long-range dependence behavior of the term structure of interest rates in Japan
    Physica A: Statistical Mechanics and its Applications, 2005, 350, (2), 418-426 Downloads View citations (26)
  6. The rescaled variance statistic and the determination of the Hurst exponent
    Mathematics and Computers in Simulation (MATCOM), 2005, 70, (3), 172-179 Downloads View citations (8)

2004

  1. 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 Downloads View citations (5)
  2. Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
    Physica A: Statistical Mechanics and its Applications, 2004, 342, (3), 656-664 Downloads View citations (54)
  3. Testing for predictability in emerging equity markets
    Emerging Markets Review, 2004, 5, (3), 295-316 Downloads View citations (34)
  4. Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore
    Applied Economics Letters, 2004, 11, (4), 255-258 Downloads View citations (25)
  5. The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (3), 521-537 Downloads View citations (118)

2003

  1. Decentralized Portfolio Management
    Brazilian Review of Finance, 2003, 1, (2), 243-270 Downloads View citations (21)
    See also Working Paper (2001)
  2. Optimal monetary rules: the case of Brazil
    Applied Economics Letters, 2003, 10, (5), 299-302 Downloads View citations (19)
    See also Working Paper (2003)
  3. Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
    Brazilian Review of Finance, 2003, 1, (1), 19-43 Downloads
    See also Working Paper (2001)
  4. 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 Downloads View citations (13)
    See also Working Paper (2002)

Chapters

2010

  1. Ambiguity Aversion and Illusion of Control in an Emerging Market: Are Individuals Subject to Behavioral Biases?
    Chapter 20 in Handbook of Behavioral Finance, 2010 Downloads
 
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