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 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pta111

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Working Papers

2022

1. Decentralized Market Power in Credit Markets
   MPRA Paper, University Library of Munich, Germany View citations (1)

2020

2. Modeling Supply-Chain Networks with Firm-to-Firm Wire Transfers
   Papers, arXiv.org View citations (1)

2019

3. Fiscal Risk and Financial Fragility
   Working Papers Series, Central Bank of Brazil, Research Department
   See also Journal Article Fiscal risk and financial fragility, Emerging Markets Review, Elsevier (2020) View citations (1) (2020)
4. Growth and Activity Diversification: the impact of financing non-traditional local activities
   Working Papers Series, Central Bank of Brazil, Research Department
5. Heterogeneous effects of the implementation of macroprudential policies on bank risk
   MPRA Paper, University Library of Munich, Germany View citations (3)
6. 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
7. The Finance-Growth Nexus: the role of banks
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
   See also Journal Article The finance-growth nexus: The role of banks, Economic Systems, Elsevier (2021) View citations (6) (2021)

2018

8. 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]
9. Economic Growth, Volatility and Their Interaction: What’s the role of finance?
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
   See also Journal Article Economic growth, volatility and their interaction: What’s the role of finance?, Economic Systems, Elsevier (2017) View citations (4) (2017)
10. Inflation Targeting and Financial Stability: does the quality of institutions matter?
    Working Papers Series, Central Bank of Brazil, Research Department View citations (29)
    See also Journal Article Inflation targeting and financial stability: Does the quality of institutions matter?, Economic Modelling, Elsevier (2018) View citations (28) (2018)
11. Interconnectedness, Firm Resilience and Monetary Policy
    Working Papers Series, Central Bank of Brazil, Research Department View citations (2)

2017

12. Systemic Risk in Financial Systems: a feedback approach
    Working Papers Series, Central Bank of Brazil, Research Department View citations (39)
    See also Journal Article Systemic risk in financial systems: A feedback approach, Journal of Economic Behavior & Organization, Elsevier (2017) View citations (37) (2017)

2016

13. Evaluating Systemic Risk using Bank Default Probabilities in Financial Networks
    Working Papers Series, Central Bank of Brazil, Research Department View citations (39)
    See also Journal Article Evaluating systemic risk using bank default probabilities in financial networks, Journal of Economic Dynamics and Control, Elsevier (2016) View citations (39) (2016)
14. Financial Networks, Bank Efficiency and Risk-Taking
    Working Papers Series, Central Bank of Brazil, Research Department View citations (39)
    See also Journal Article Financial networks, bank efficiency and risk-taking, Journal of Financial Stability, Elsevier (2016) View citations (34) (2016)
15. Modeling Financial Networks: a feedback approach
    Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
16. Structure and Dynamics of the Global Financial Network
    Working Papers Series, Central Bank of Brazil, Research Department View citations (19)
    See also Journal Article Structure and dynamics of the global financial network, Chaos, Solitons & Fractals, Elsevier (2016) View citations (17) (2016)
17. 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]
    See also Journal Article The 2D:4D ratio and Myopic Loss Aversion (MLA): An experimental investigation, Journal of Behavioral and Experimental Finance, Elsevier (2015) View citations (2) (2015)
18. Why Do Vulnerability Cycles Matter in Financial Networks?
    Working Papers Series, Central Bank of Brazil, Research Department View citations (2)
    See also Journal Article Why do vulnerability cycles matter in financial networks?, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) View citations (5) (2017)

2015

19. Liquidity Performance Evaluation of the Brazilian Interbank Market using a Network-Based Approach
    Working Papers Series, Central Bank of Brazil, Research Department View citations (3)
20. Monitoring Vulnerability and Impact Diffusion in Financial Networks
    Working Papers Series, Central Bank of Brazil, Research Department View citations (12)
    See also Journal Article Monitoring vulnerability and impact diffusion in financial networks, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (25) (2017)
21. Network Structure Analysis of the Brazilian Interbank Market
    Working Papers Series, Central Bank of Brazil, Research Department View citations (9)
    See also Journal Article Network structure analysis of the Brazilian interbank market, Emerging Markets Review, Elsevier (2016) View citations (59) (2016)

2014

22. Banking Systemic Risk, Foreign Funding, Exchange Rate Exposure and Carry Trade: is there a relation?
    Working Papers Series, Central Bank of Brazil, Research Department
23. Do Interconnections Matter for Bank Efficiency?
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
24. Dynamic spanning trees in stock market networks: The case of Asia-Pacific
    Working Papers Series, Central Bank of Brazil, Research Department View citations (30)
    See also Journal Article Dynamic spanning trees in stock market networks: The case of Asia-Pacific, Physica A: Statistical Mechanics and its Applications, Elsevier (2014) View citations (32) (2014)
25. Inflation Targeting and Banking System Soundness: A Comprehensive Analysis
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
26. 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]
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2013) View citations (7)
    See also Journal Article Systemic risk measures, Physica A: Statistical Mechanics and its Applications, Elsevier (2016) View citations (14) (2016)
27. The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article Adequacy of deterministic and parametric frontiers to analyze the efficiency of Indian commercial banks, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (2) (2018)
28. The Efficiency of Chinese Local Banks: A comparison of DEA and SFA
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2013

29. Assessing Systemic Risk in the Brazilian Interbank Market
    Working Papers Series, Central Bank of Brazil, Research Department View citations (16)
30. Asymmetric Effects of Monetary Policy in the U.S. and Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
    Also in DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2013) View citations (4)
    See also Journal Article Asymmetric effects of monetary policy in the U.S and Brazil, The Journal of Economic Asymmetries, Elsevier (2018) View citations (4) (2018)
31. Complex Networks and Banking Systems Supervision
    Working Papers Series, Central Bank of Brazil, Research Department View citations (22)
    See also Journal Article Complex networks and banking systems supervision, Physica A: Statistical Mechanics and its Applications, Elsevier (2013) View citations (24) (2013)
32. Contagion Risk within Firm-Bank Bivariate Networks
    Working Papers Series, Central Bank of Brazil, Research Department View citations (14)
33. 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
34. Existência de equilíbrio num jogo com bancarrota e agentes heterogêneos
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
35. Exposição Cambial e Assunção de Risco dos Bancos Atuantes no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department
36. How much random does European Union walk? A time-varying long memory analysis
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
37. Insolvency and Contagion in the Brazilian Interbank Market
    Working Papers Series, Central Bank of Brazil, Research Department View citations (6)
    See also Journal Article Insolvency and contagion in the Brazilian interbank market, Physica A: Statistical Mechanics and its Applications, Elsevier (2015) View citations (25) (2015)
38. Mercados Financeiros Globais – Uma Análise da Interconectividade
    Working Papers Series, Central Bank of Brazil, Research Department
39. Teste da Hipótese de Mercados Adaptativos para o Brasil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2012

40. 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 View citations (4)
    See also Journal Article A geographically weighted approach to measuring efficiency in panel data: The case of US saving banks, Journal of Banking & Finance, Elsevier (2013) View citations (16) (2013)
41. Conectividade e Risco Sistêmico no Sistema de Pagamentos Brasileiro
    Working Papers Series, Central Bank of Brazil, Research Department
42. Contagion in CDS, Banking and Equity Markets
    Working Papers Series, Central Bank of Brazil, Research Department View citations (13)
    See also Journal Article Contagion in CDS, banking and equity markets, Economic Systems, Elsevier (2016) View citations (23) (2016)
43. Determinantes da Estrutura de Capital das Empresas Brasileiras: uma abordagem em regressão quantílica
    Working Papers Series, Central Bank of Brazil, Research Department
44. Pesquisa de Estabilidade Financeira do Banco Central do Brasil
    Working Papers Series, Central Bank of Brazil, Research Department
45. Teste de Estresse para Risco de Liquidez: o caso do sistema bancário brasileiro
    Working Papers Series, Central Bank of Brazil, Research Department View citations (3)
46. The Impact of Market Power at Bank Level in Risk-taking: the Brazilian case
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
    See also Journal Article The impact of market power at bank level in risk-taking: The Brazilian case, International Review of Financial Analysis, Elsevier (2015) View citations (28) (2015)

2011

47. 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] View citations (32)
48. Bank Efficiency and Default in Brazil: Causality Tests
    Working Papers Series, Central Bank of Brazil, Research Department View citations (15)
49. Comparação da Eficiência de Custo para BRICs e América Latina
    Working Papers Series, Central Bank of Brazil, Research Department View citations (3)
50. 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]
51. Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks
    Working Papers Series, Central Bank of Brazil, Research Department View citations (8)
    See also Journal Article Directed clustering coefficient as a measure of systemic risk in complex banking networks, Physica A: Statistical Mechanics and its Applications, Elsevier (2014) View citations (46) (2014)
52. Forecasting the Yield Curve for the Euro Region
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article Forecasting the yield curve for the Euro region, Economics Letters, Elsevier (2012) View citations (1) (2012)
53. Modeling Default Probabilities: the case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (8)
    See also Journal Article Modeling default probabilities: The case of Brazil, Journal of International Financial Markets, Institutions and Money, Elsevier (2011) View citations (7) (2011)
54. 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]
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2010)
    See also Journal Article O Comportamento Cíclico do Capital dos Bancos Brasileiros, Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2010) (2010)
55. Profit, Cost and Scale Efficiency for Latin American Banks: Concentration-Performance Relationship
    Working Papers Series, Central Bank of Brazil, Research Department View citations (7)
56. The Relationship Between Banking Market Competition and Risk-taking: Do Size and Capitalization Matter?
    Working Papers Series, Central Bank of Brazil, Research Department View citations (13)
    See also Journal Article The relationship between banking market competition and risk-taking: Do size and capitalization matter?, Journal of Banking & Finance, Elsevier (2012) View citations (175) (2012)

2010

57. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector
    Working Papers Series, Central Bank of Brazil, Research Department View citations (6)
    See also Journal Article A macro stress test model of credit risk for the Brazilian banking sector, Journal of Financial Stability, Elsevier (2012) View citations (37) (2012)
58. Determinants of Bank Efficiency: the Case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (62)
    See also Journal Article Determinants of bank efficiency: The case of Brazil, European Journal of Operational Research, Elsevier (2010) View citations (59) (2010)
59. Eficiência Bancária e Inadimplência: Testes de Causalidade
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
60. Financial Fragility in a General Equilibrium Model: the Brazilian case
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
    See also Journal Article Financial fragility in a general equilibrium model: the Brazilian case, Annals of Finance, Springer (2013) View citations (5) (2013)
61. Financial Stability and Monetary Policy - The Case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (16)
    See also Journal Article Financial Stability and Monetary Policy - The case of Brazil, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2013) View citations (7) (2013)
62. Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy
    Working Papers Series, Central Bank of Brazil, Research Department View citations (17)
    See also Journal Article Fluctuation dynamics in US interest rates and the role of monetary policy, Finance Research Letters, Elsevier (2010) View citations (17) (2010)
63. The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk
    Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
    See also Journal Article The effects of loan portfolio concentration on Brazilian banks' return and risk, Journal of Banking & Finance, Elsevier (2011) View citations (63) (2011)

2009

64. Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
    See also Journal Article Behaviour finance and estimation risk in stochastic portfolio optimization, Applied Financial Economics, Taylor & Francis Journals (2010) View citations (1) (2010)
65. Concentração e Inadimplência nas Carteiras de Empréstimos dos Bancos Brasileiros
    Working Papers Series, Central Bank of Brazil, Research Department
66. Delegated Portfolio Management and Risk Taking Behavior
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article Delegated portfolio management and risk-taking behavior, The European Journal of Finance, Taylor & Francis Journals (2010) (2010)
67. Evolution of Bank Efficiency in Brazil: A DEA Approach
    Working Papers Series, Central Bank of Brazil, Research Department View citations (14)
    See also Journal Article Evolution of bank efficiency in Brazil: A DEA approach, European Journal of Operational Research, Elsevier (2010) View citations (98) (2010)
68. Forecasting the Yield Curve for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (2)
69. Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks
    Working Papers Series, Central Bank of Brazil, Research Department View citations (20)
70. Testes de contágio entre sistemas bancários - A crise do subprime
    Working Papers Series, Central Bank of Brazil, Research Department

2008

71. Characterizing the Brazilian Term Structure of Interest Rates
    Working Papers Series, Central Bank of Brazil, Research Department 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) View citations (3)
    See also Journal Article Characterising the Brazilian term structure of interest rates, International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd (2009) View citations (1) (2009)
72. Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2007

73. 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
74. Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
75. Evaluation of Default Risk for The Brazilian Banking Sector
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
76. Forecasting Bonds Yields in the Brazilian Fixed Income Market
    Working Papers Series, Central Bank of Brazil, Research Department View citations (5)
    See also Journal Article Forecasting bond yields in the Brazilian fixed income market, International Journal of Forecasting, Elsevier (2008) View citations (22) (2008)
77. Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
    See also Journal Article Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil, Brazilian Review of Finance, Brazilian Society of Finance (2007) View citations (4) (2007)
78. Long-Range Dependence in Exchange Rates: the case of the European Monetary System
    Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
    See also Journal Article LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2008) View citations (23) (2008)
79. 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] View citations (6)
80. The Stability-Concentration Relationship in the Brazilian Banking System
    Working Papers Series, Central Bank of Brazil, Research Department View citations (7)
    See also Journal Article The stability-concentration relationship in the Brazilian banking system, Journal of International Financial Markets, Institutions and Money, Elsevier (2008) View citations (24) (2008)
81. The role of banks in the Brazilian Interbank Market: Does bank type matter?
    Working Papers Series, Central Bank of Brazil, Research Department View citations (13)
    See also Journal Article The role of banks in the Brazilian interbank market: Does bank type matter?, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (62) (2008)

2006

82. 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]
83. 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 (8)
84. Econophysics of interest rates and the role of monetary policy
    Papers, arXiv.org View citations (3)
85. Extração de Informação de Opções Cambiais no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (7)
86. Forecasting Interest Rates: an application for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (17)
87. Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (14)
    See also Journal Article Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2006) View citations (2) (2006)
88. Long-range dependence in Interest Rates and Monetary Policy
    Papers, arXiv.org
89. Myopic Loss Aversion and House-Money Effect Overseas: an experimental approach
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
90. The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (33)
    See also Journal Article THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2006) View citations (29) (2006)

2004

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

2003

92. Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates
    Working Papers Series, Central Bank of Brazil, Research Department View citations (16)
93. On the Information Content of Oil Future Prices
    Working Papers Series, Central Bank of Brazil, Research Department View citations (19)
94. Optimal Monetary Rules: The Case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (17)
    See also Journal Article Optimal monetary rules: the case of Brazil, Applied Economics Letters, Taylor & Francis Journals (2003) View citations (24) (2003)

2002

95. Causality and Cointegration in Stock Markets: The Case of Latin America
    Working Papers Series, Central Bank of Brazil, Research Department View citations (24)
96. Delegated Portfolio Management
    Working Papers Series, Central Bank of Brazil, Research Department View citations (19)
97. Stock Returns and Volatility
    Working Papers Series, Central Bank of Brazil, Research Department View citations (35)
98. The Effects of the Brazilian ADRs Program on Domestic Market Efficiency
    Working Papers Series, Central Bank of Brazil, Research Department View citations (25)
99. 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 View citations (16)
    See also Journal Article The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case, Applied Financial Economics, Taylor & Francis Journals (2003) View citations (22) (2003)

2001

100. Decentralized Portfolio Management
     Working Papers Series, Central Bank of Brazil, Research Department View citations (19)
     See also Journal Article Decentralized Portfolio Management, Brazilian Review of Finance, Brazilian Society of Finance (2003) View citations (21) (2003)
101. Is it Worth Tracking Dollar/Real Implied Volatility?
     Working Papers Series, Central Bank of Brazil, Research Department View citations (25)
102. Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
     Working Papers Series, Central Bank of Brazil, Research Department View citations (27)
     See also Journal Article Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates, Brazilian Review of Finance, Brazilian Society of Finance (2003) View citations (6) (2003)

Journal Articles

2024

1. Real effects of direct cash transfers shocks: evidence from one of the largest social welfare programs in the world
   Applied Economics, 2024, 56, (12), 1408-1422

2023

2. ASSESSMENT OF SECTOR BOND, EQUITY INDICES AND GREEN BOND INDEX USING INFORMATION THEORY QUANTIFIERS AND CLUSTERS TECHNIQUES
   FRACTALS (fractals), 2023, 31, (01), 1-17 View citations (1)
3. ASSESSMENT THE PREDICTABILITY IN THE PRICE DYNAMICS FOR THE TOP 10 CRYPTOCURRENCIES: THE IMPACTS OF RUSSIA–UKRAINE WAR
   FRACTALS (fractals), 2023, 31, (05), 1-10
4. ASYMMETRIC MULTIFRACTAL CROSS-CORRELATION DYNAMICS BETWEEN FIAT CURRENCIES AND CRYPTOCURRENCIES
   FRACTALS (fractals), 2023, 31, (01), 1-20 View citations (3)
5. Analysis of the Effectiveness of Public Health Measures on COVID-19 Transmission
   IJERPH, 2023, 20, (18), 1-19
6. Aspectos demográficos y convergencia regional de los ingresos en el Brasil: enfoque de datos de panel
   Revista CEPAL, 2023
7. COVID-19 and bank branch lending: The moderating effect of digitalization
   Journal of Banking & Finance, 2023, 152, (C) View citations (7)
8. Demographic aspects and regional income convergence in Brazil: a panel data approach
   Revista CEPAL, 2023
9. How politics can influence the allocation of social program benefits: A case study of the Brazilian poverty reduction program Bolsa Família
   Economic Analysis and Policy, 2023, 80, (C), 77-89
10. Limits to Myopic loss aversion and learning
    Economics Letters, 2023, 229, (C)
11. Multifractal cross-correlations between green bonds and financial assets
    Finance Research Letters, 2023, 53, (C) View citations (6)
12. OUTLINING GUIDELINES FOR THE APPLICATION OF THE MF-DCCA IN FINANCIAL TIME SERIES: NON-STATIONARY VERSUS STATIONARY
    FRACTALS (fractals), 2023, 31, (09), 1-20
13. THE SYNERGIC INTERPLAY BETWEEN ENTROPY, PREDICTABILITY, AND INFORMATIONAL EFFICIENCY OF THE SHANGHAI SECTORAL INDEX
    FRACTALS (fractals), 2023, 31, (09), 1-10
14. The Impact of Government Disaster Surveillance and Alerts on Local Economic and Financial Conditions
    Environmental & Resource Economics, 2023, 84, (2), 559-591 View citations (1)
15. The Intersection of Health Literacy and Public Health: A Machine Learning-Enhanced Bibliometric Investigation
    IJERPH, 2023, 20, (20), 1-18 View citations (1)
16. The effect of interconnectivity on stock returns during the Global Financial Crisis
    The North American Journal of Economics and Finance, 2023, 67, (C) View citations (5)
17. Tourism and the economy: evidence from Brazil
    Current Issues in Tourism, 2023, 26, (6), 851-862 View citations (1)
18. Trade matters except to war neighbors: The international stock market reaction to 2022 Russia’s invasion of Ukraine
    Research in International Business and Finance, 2023, 65, (C) View citations (10)

2022

19. Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock
    The Quarterly Review of Economics and Finance, 2022, 84, (C), 324-336 View citations (1)
20. Booms in commodities price: Assessing disorder and similarity over economic cycles
    Resources Policy, 2022, 79, (C) View citations (1)
21. EVALUATING THE EFFICIENCY OF BRAZILIAN STOCK MARKET INDICES: THE CASE OF COVID-19
    FRACTALS (fractals), 2022, 30, (01), 1-11 View citations (1)
22. EXAMINING THE FRACTAL MARKET HYPOTHESIS CONSIDERING DAILY AND HIGH FREQUENCY FOR CRYPTOCURRENCY ASSETS
    FRACTALS (fractals), 2022, 30, (03), 1-20 View citations (4)
23. Financial Literacy and the Perceived Value of Stress Testing: An Experiment Using Students in Brazil
    Emerging Markets Finance and Trade, 2022, 58, (4), 965-996 View citations (2)
24. Financial innovation and moral hazard: the case of time deposits with special guarantee
    Applied Economics, 2022, 54, (17), 1934-1944
25. Hedging commodities in times of distress: The case of COVID‐19
    Journal of Futures Markets, 2022, 42, (10), 1941-1959 View citations (5)
26. Indirect and direct effects of the subprime crisis on the real sector: labor market migration
    Empirical Economics, 2022, 62, (3), 1407-1438 View citations (2)
27. Interplay multifractal dynamics among metal commodities and US-EPU
    Physica A: Statistical Mechanics and its Applications, 2022, 606, (C)
28. MULTIFRACTAL CROSS-CORRELATIONS RISK AMONG WTI AND FINANCIAL ASSETS
    FRACTALS (fractals), 2022, 30, (09), 1-13
29. Sanitation and water services: Who is the most efficient provider public or private? Evidences for Brazil
    Socio-Economic Planning Sciences, 2022, 79, (C) View citations (3)
30. The role of network topology in competition and ticket pricing in air transportation: Evidence from Brazil
    Physica A: Statistical Mechanics and its Applications, 2022, 601, (C)
31. The role of non-critical business and telework propensity in international stock markets during the COVID-19 pandemic
    Journal of International Financial Markets, Institutions and Money, 2022, 79, (C) View citations (4)

2021

32. Citation likelihood analysis of the interbank financial networks literature: A machine learning and bibliometric approach
    Physica A: Statistical Mechanics and its Applications, 2021, 562, (C) View citations (4)
33. EFFECTS OF COVID-19 ON CHINESE SECTORAL INDICES: A MULTIFRACTAL ANALYSIS
    FRACTALS (fractals), 2021, 29, (07), 1-13 View citations (3)
34. Financing choice and local economic growth: evidence from Brazil
    Journal of Economic Growth, 2021, 26, (3), 329-357 View citations (6)
35. High-frequency return and volatility spillovers among cryptocurrencies
    Applied Economics, 2021, 53, (37), 4310-4328 View citations (20)
36. How and When Factors of Agricultural Contribution Influence Urbanization: A Historical Analysis of Tibet
    Discrete Dynamics in Nature and Society, 2021, 2021, 1-15
37. Insights from the (in)efficiency of Chinese sectoral indices during COVID-19
    Physica A: Statistical Mechanics and its Applications, 2021, 578, (C) View citations (6)
38. Prudential measures and their adverse effects on bank competition: The case of Brazil
    Economic Modelling, 2021, 100, (C) View citations (1)
39. The finance-growth nexus: The role of banks
    Economic Systems, 2021, 45, (1) View citations (6)
    See also Working Paper The Finance-Growth Nexus: the role of banks, Working Papers Series (2019) View citations (1) (2019)
40. The transmission mechanisms of macroprudential policies on bank risk
    Economic Modelling, 2021, 94, (C), 598-630 View citations (20)

2020

41. Applications of Machine Learning Methods in Complex Economics and Financial Networks
    Complexity, 2020, 2020, 1-2
42. Fiscal risk and financial fragility
    Emerging Markets Review, 2020, 45, (C) View citations (1)
    See also Working Paper Fiscal Risk and Financial Fragility, Working Papers Series (2019) (2019)
43. Internet access in recessionary periods: The case of Brazil
    Physica A: Statistical Mechanics and its Applications, 2020, 537, (C) View citations (3)
44. Micro-level transmission of monetary policy shocks: The trading book channel
    Journal of Economic Behavior & Organization, 2020, 179, (C), 279-298 View citations (7)
45. Overconfidence and the 2D:4D ratio
    Journal of Behavioral and Experimental Finance, 2020, 25, (C) View citations (3)

2019

46. Financial Networks 2019
    Complexity, 2019, 2019, 1-2
47. Long-term forecast of energy commodities price using machine learning
    Energy, 2019, 179, (C), 214-221 View citations (31)
48. Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies
    Complexity, 2019, 2019, 1-14 View citations (1)

2018

49. 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 View citations (2)
    See also Working Paper The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks, Working Papers Series (2014) (2014)
50. Asymmetric effects of monetary policy in the U.S and Brazil
    The Journal of Economic Asymmetries, 2018, 18, (C), - View citations (4)
    See also Working Paper Asymmetric Effects of Monetary Policy in the U.S. and Brazil, Working Papers Series (2013) View citations (4) (2013)
51. Bank lending and systemic risk: A financial-real sector network approach with feedback
    Journal of Financial Stability, 2018, 38, (C), 98-118 View citations (42)
52. Financial Networks
    Complexity, 2018, 2018, 1-2 View citations (19)
53. Inflation targeting and financial stability: Does the quality of institutions matter?
    Economic Modelling, 2018, 71, (C), 1-15 View citations (28)
    See also Working Paper Inflation Targeting and Financial Stability: does the quality of institutions matter?, Working Papers Series (2018) View citations (29) (2018)

2017

54. 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 View citations (30)
55. Economic growth, volatility and their interaction: What’s the role of finance?
    Economic Systems, 2017, 41, (3), 433-444 View citations (4)
    See also Working Paper Economic Growth, Volatility and Their Interaction: What’s the role of finance?, Working Papers Series (2018) View citations (1) (2018)
56. Modeling stochastic frontier based on vine copulas
    Physica A: Statistical Mechanics and its Applications, 2017, 486, (C), 595-609 View citations (1)
57. Monitoring vulnerability and impact diffusion in financial networks
    Journal of Economic Dynamics and Control, 2017, 76, (C), 109-135 View citations (25)
    See also Working Paper Monitoring Vulnerability and Impact Diffusion in Financial Networks, Working Papers Series (2015) View citations (12) (2015)
58. Not all emerging markets are the same: A classification approach with correlation based networks
    Journal of Financial Stability, 2017, 33, (C), 163-186 View citations (9)
59. Systemic risk in financial systems: A feedback approach
    Journal of Economic Behavior & Organization, 2017, 144, (C), 97-120 View citations (37)
    See also Working Paper Systemic Risk in Financial Systems: a feedback approach, Working Papers Series (2017) View citations (39) (2017)
60. The effects of capital buffers on profitability: An empirical study
    Economics Bulletin, 2017, 37, (3), 1468-1473 View citations (3)
61. Why do vulnerability cycles matter in financial networks?
    Physica A: Statistical Mechanics and its Applications, 2017, 471, (C), 592-606 View citations (5)
    See also Working Paper Why Do Vulnerability Cycles Matter in Financial Networks?, Working Papers Series (2016) View citations (2) (2016)

2016

62. Contagion in CDS, banking and equity markets
    Economic Systems, 2016, 40, (1), 120-134 View citations (23)
    See also Working Paper Contagion in CDS, Banking and Equity Markets, Working Papers Series (2012) View citations (13) (2012)
63. Dynamic efficiency of stock markets and exchange rates
    International Review of Financial Analysis, 2016, 47, (C), 353-371 View citations (16)
64. Evaluating systemic risk using bank default probabilities in financial networks
    Journal of Economic Dynamics and Control, 2016, 66, (C), 54-75 View citations (39)
    See also Working Paper Evaluating Systemic Risk using Bank Default Probabilities in Financial Networks, Working Papers Series (2016) View citations (39) (2016)
65. Financial networks, bank efficiency and risk-taking
    Journal of Financial Stability, 2016, 25, (C), 247-257 View citations (34)
    See also Working Paper Financial Networks, Bank Efficiency and Risk-Taking, Working Papers Series (2016) View citations (39) (2016)
66. Financial stability and bank supervision
    Finance Research Letters, 2016, 18, (C), 322-327 View citations (12)
67. Monetary Expansion and the Banking Lending Channel
    PLOS ONE, 2016, 11, (10), 1-11
68. Network structure analysis of the Brazilian interbank market
    Emerging Markets Review, 2016, 26, (C), 130-152 View citations (59)
    See also Working Paper Network Structure Analysis of the Brazilian Interbank Market, Working Papers Series (2015) View citations (9) (2015)
69. Structure and dynamics of the global financial network
    Chaos, Solitons & Fractals, 2016, 88, (C), 218-234 View citations (17)
    See also Working Paper Structure and Dynamics of the Global Financial Network, Working Papers Series (2016) View citations (19) (2016)
70. Systemic risk measures
    Physica A: Statistical Mechanics and its Applications, 2016, 442, (C), 329-342 View citations (14)
    See also Working Paper SYSTEMIC RISK MEASURES, Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] (2014) (2014)

2015

71. Finance, Banking, and Regulation in Emerging Economies: An Overview
    Emerging Markets Finance and Trade, 2015, 51, (S6), S1-S2
72. Inflation targeting: Is IT to blame for banking system instability?
    Journal of Banking & Finance, 2015, 59, (C), 76-97 View citations (34)
73. Insolvency and contagion in the Brazilian interbank market
    Physica A: Statistical Mechanics and its Applications, 2015, 431, (C), 140-151 View citations (25)
    See also Working Paper Insolvency and Contagion in the Brazilian Interbank Market, Working Papers Series (2013) View citations (6) (2013)
74. The 2D:4D ratio and Myopic Loss Aversion (MLA): An experimental investigation
    Journal of Behavioral and Experimental Finance, 2015, 5, (C), 81-84 View citations (2)
    See also Working Paper 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] (2016) (2016)
75. The impact of market power at bank level in risk-taking: The Brazilian case
    International Review of Financial Analysis, 2015, 40, (C), 154-165 View citations (28)
    See also Working Paper The Impact of Market Power at Bank Level in Risk-taking: the Brazilian case, Working Papers Series (2012) View citations (1) (2012)
76. Time-varying long term memory in the European Union stock markets
    Physica A: Statistical Mechanics and its Applications, 2015, 436, (C), 147-158 View citations (24)

2014

77. 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 View citations (46)
    See also Working Paper Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks, Working Papers Series (2011) View citations (8) (2011)
78. Dynamic spanning trees in stock market networks: The case of Asia-Pacific
    Physica A: Statistical Mechanics and its Applications, 2014, 414, (C), 387-402 View citations (32)
    See also Working Paper Dynamic spanning trees in stock market networks: The case of Asia-Pacific, Working Papers Series (2014) View citations (30) (2014)
79. Testing the Adaptive Markets Hypothesis for Brazil
    Brazilian Review of Finance, 2014, 12, (4), 517-553 View citations (1)

2013

80. 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 View citations (16)
    See also Working Paper A Geographically Weighted Approach in Measuring Efficiency in Panel Data: the Case of US Saving Banks, Working Papers Series (2012) View citations (4) (2012)
81. Complex networks and banking systems supervision
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (19), 4429-4434 View citations (24)
    See also Working Paper Complex Networks and Banking Systems Supervision, Working Papers Series (2013) View citations (22) (2013)
82. Determinants of the level of indebtedness for Brazilian firms: A quantile regression approach
    Economia, 2013, 14, (3–4), 123_138 View citations (3)
83. Financial Stability and Monetary Policy - The case of Brazil
    Revista Brasileira de Economia - RBE, 2013, 67, (4) View citations (7)
    See also Working Paper Financial Stability and Monetary Policy - The Case of Brazil, Working Papers Series (2010) View citations (16) (2010)
84. Financial fragility in a general equilibrium model: the Brazilian case
    Annals of Finance, 2013, 9, (3), 519-541 View citations (5)
    See also Working Paper Financial Fragility in a General Equilibrium Model: the Brazilian case, Working Papers Series (2010) View citations (1) (2010)
85. Systemically important banks and financial stability: The case of Latin America
    Journal of Banking & Finance, 2013, 37, (10), 3855-3866 View citations (39)

2012

86. A macro stress test model of credit risk for the Brazilian banking sector
    Journal of Financial Stability, 2012, 8, (2), 69-83 View citations (37)
    See also Working Paper A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector, Working Papers Series (2010) View citations (6) (2010)
87. Forecasting the yield curve for the Euro region
    Economics Letters, 2012, 117, (2), 513-516 View citations (1)
    See also Working Paper Forecasting the Yield Curve for the Euro Region, Working Papers Series (2011) (2011)
88. The relationship between banking market competition and risk-taking: Do size and capitalization matter?
    Journal of Banking & Finance, 2012, 36, (12), 3366-3381 View citations (175)
    See also Working Paper The Relationship Between Banking Market Competition and Risk-taking: Do Size and Capitalization Matter?, Working Papers Series (2011) View citations (13) (2011)

2011

89. Commodity predictability analysis with a permutation information theory approach
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (5), 876-890 View citations (37)
90. Modeling default probabilities: The case of Brazil
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (4), 513-534 View citations (7)
    See also Working Paper Modeling Default Probabilities: the case of Brazil, Working Papers Series (2011) View citations (8) (2011)
91. The effects of loan portfolio concentration on Brazilian banks' return and risk
    Journal of Banking & Finance, 2011, 35, (11), 3065-3076 View citations (63)
    See also Working Paper The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk, Working Papers Series (2010) View citations (4) (2010)

2010

92. Behaviour finance and estimation risk in stochastic portfolio optimization
    Applied Financial Economics, 2010, 20, (9), 719-738 View citations (1)
    See also Working Paper Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization, Working Papers Series (2009) View citations (1) (2009)
93. 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 View citations (73)
94. Delegated portfolio management and risk-taking behavior
    The European Journal of Finance, 2010, 16, (4), 353-372
    See also Working Paper Delegated Portfolio Management and Risk Taking Behavior, Working Papers Series (2009) (2009)
95. Determinants of bank efficiency: The case of Brazil
    European Journal of Operational Research, 2010, 207, (3), 1587-1598 View citations (59)
    See also Working Paper Determinants of Bank Efficiency: the Case of Brazil, Working Papers Series (2010) View citations (62) (2010)
96. Estimating a Bayesian stochastic frontier for the Indian banking system
    International Journal of Production Economics, 2010, 125, (1), 96-110 View citations (15)
97. Evolution of bank efficiency in Brazil: A DEA approach
    European Journal of Operational Research, 2010, 202, (1), 204-213 View citations (98)
    See also Working Paper Evolution of Bank Efficiency in Brazil: A DEA Approach, Working Papers Series (2009) View citations (14) (2009)
98. Fluctuation dynamics in US interest rates and the role of monetary policy
    Finance Research Letters, 2010, 7, (3), 163-169 View citations (17)
    See also Working Paper Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy, Working Papers Series (2010) View citations (17) (2010)
99. O Comportamento Cíclico do Capital dos Bancos Brasileiros
    Economia, 2010, 11, (3), 671_690
    See also Working Paper O COMPORTAMENTOCÍCLICO DO CAPITAL DOS BANCOS BRASILEIROS, Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] (2011) (2011)
100. Topological properties of commodities networks
     The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 74, (2), 243-249 View citations (27)
101. Topological properties of stock market networks: The case of Brazil
     Physica A: Statistical Mechanics and its Applications, 2010, 389, (16), 3240-3249 View citations (68)

2009

102. Banking concentration and the price-concentration relationship: the case of Brazil
     International Journal of Accounting and Finance, 2009, 1, (4), 415-435 View citations (6)
103. Can we predict crashes? The case of the Brazilian stock market
     Physica A: Statistical Mechanics and its Applications, 2009, 388, (8), 1603-1609 View citations (11)
104. Characterising the Brazilian term structure of interest rates
     International Journal of Monetary Economics and Finance, 2009, 2, (2), 103-114 View citations (1)
     See also Working Paper Characterizing the Brazilian Term Structure of Interest Rates, Working Papers Series (2008) View citations (2) (2008)
105. 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 View citations (94)
106. Forbidden patterns, permutation entropy and stock market inefficiency
     Physica A: Statistical Mechanics and its Applications, 2009, 388, (14), 2854-2864 View citations (51)
107. 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 View citations (18)
108. Multifractal structure in Latin-American market indices
     Chaos, Solitons & Fractals, 2009, 41, (5), 2331-2340 View citations (37)
109. Multifractality and herding behavior in the Japanese stock market
     Chaos, Solitons & Fractals, 2009, 40, (1), 497-504 View citations (31)
110. Quantifying price fluctuations in the Brazilian stock market
     Physica A: Statistical Mechanics and its Applications, 2009, 388, (1), 59-62 View citations (6)
111. TOPOLOGICAL PROPERTIES OF BANK NETWORKS: THE CASE OF BRAZIL
     International Journal of Modern Physics C (IJMPC), 2009, 20, (08), 1121-1143 View citations (6)
112. Testing for long-range dependence in the Brazilian term structure of interest rates
     Chaos, Solitons & Fractals, 2009, 40, (4), 1559-1573 View citations (30)
113. Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis
     Applied Economics, 2009, 41, (21), 2681-2689 View citations (7)
114. Tests of Random Walk: A Comparison of Bootstrap Approaches
     Computational Economics, 2009, 34, (4), 365-382 View citations (2)
115. 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 View citations (23)

2008

116. 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) View citations (3)
117. A multifractal approach for stock market inefficiency
     Physica A: Statistical Mechanics and its Applications, 2008, 387, (26), 6558-6566 View citations (157)
118. Forecasting bond yields in the Brazilian fixed income market
     International Journal of Forecasting, 2008, 24, (3), 490-497 View citations (22)
     See also Working Paper Forecasting Bonds Yields in the Brazilian Fixed Income Market, Working Papers Series (2007) View citations (5) (2007)
119. Interest rate option pricing and volatility forecasting: An application to Brazil
     Chaos, Solitons & Fractals, 2008, 38, (3), 755-763 View citations (1)
120. 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 View citations (23)
     See also Working Paper Long-Range Dependence in Exchange Rates: the case of the European Monetary System, Working Papers Series (2007) View citations (4) (2007)
121. Long memory testing for Fed Funds Futures’ contracts
     Chaos, Solitons & Fractals, 2008, 37, (1), 180-186 View citations (4)
122. Measures of Interbank Market Structure: An Application to Brazil
     Brazilian Review of Econometrics, 2008, 28, (2) View citations (17)
123. Measuring Bank Efficiency in Brazil – The Inclusion of Macro-prudential Indicators
     Brazilian Review of Finance, 2008, 6, (3), 413-438
124. Testing for long-range dependence in world stock markets
     Chaos, Solitons & Fractals, 2008, 37, (3), 918-927 View citations (35)
125. Testing for time-varying long-range dependence in real state equity returns
     Chaos, Solitons & Fractals, 2008, 38, (1), 293-307 View citations (30)
126. 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 View citations (62)
     See also Working Paper The role of banks in the Brazilian Interbank Market: Does bank type matter?, Working Papers Series (2007) View citations (13) (2007)
127. The stability-concentration relationship in the Brazilian banking system
     Journal of International Financial Markets, Institutions and Money, 2008, 18, (4), 388-397 View citations (24)
     See also Working Paper The Stability-Concentration Relationship in the Brazilian Banking System, Working Papers Series (2007) View citations (7) (2007)

2007

128. Are implied volatilities more informative? The Brazilian real exchange rate case
     Applied Financial Economics, 2007, 17, (7), 569-576 View citations (4)
129. 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 View citations (155)
130. Assessing financial instability: The case of Brazil
     Research in International Business and Finance, 2007, 21, (2), 188-202 View citations (9)
131. Characterizing bid–ask prices in the Brazilian equity market
     Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 627-633 View citations (2)
132. Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market
     Economic Notes, 2007, 36, (3), 231-246
133. Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil
     Brazilian Review of Finance, 2007, 5, (1), 29-39 View citations (4)
     See also Working Paper Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil, Working Papers Series (2007) View citations (4) (2007)
134. Inefficiency in Latin-American market indices
     The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 60, (1), 111-121 View citations (25)
135. Is the expression H=1/(3-q) valid for real financial data?
     Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 593-602 View citations (3)
136. Long-range dependence and market structure
     Chaos, Solitons & Fractals, 2007, 31, (4), 995-1000 View citations (15)
137. 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 View citations (70)
138. Realism Versus Statistical Efficiency: A Note on Contingent Valuation with Follow-up Queries
     Atlantic Economic Journal, 2007, 35, (4), 451-462
139. Testing for inefficiency in emerging markets exchange rates
     Chaos, Solitons & Fractals, 2007, 33, (2), 617-622 View citations (9)
140. Testing for unit root bilinearity in the Brazilian stock market
     Physica A: Statistical Mechanics and its Applications, 2007, 385, (1), 261-269 View citations (7)
141. Time-varying long-range dependence in US interest rates
     Chaos, Solitons & Fractals, 2007, 34, (2), 360-367 View citations (19)

2006

142. Assessing inefficiency in euro bilateral exchange rates
     Physica A: Statistical Mechanics and its Applications, 2006, 367, (C), 319-327 View citations (14)
143. Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
     Revista Brasileira de Economia - RBE, 2006, 60, (2) View citations (2)
     See also Working Paper Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil, Working Papers Series (2006) View citations (14) (2006)
144. 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 View citations (29)
     See also Working Paper The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil, Working Papers Series (2006) View citations (33) (2006)
145. Testing for predictability in equity returns for European transition markets
     Economic Systems, 2006, 30, (1), 56-78 View citations (47)
146. Testing for rational bubbles in banking indices
     Physica A: Statistical Mechanics and its Applications, 2006, 366, (C), 365-376 View citations (6)
147. The long-range dependence phenomena in asset returns: the Chinese case
     Applied Economics Letters, 2006, 13, (2), 131-133 View citations (15)

2005

148. An International Comparison of Banking Sectors: A DEA Approach
     Global Economic Review, 2005, 34, (3), 291-307 View citations (3)
149. 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 View citations (6)
150. Possible causes of long-range dependence in the Brazilian stock market
     Physica A: Statistical Mechanics and its Applications, 2005, 345, (3), 635-645 View citations (27)
151. Testing for long range dependence in banking equity indices
     Chaos, Solitons & Fractals, 2005, 26, (5), 1423-1428 View citations (11)
152. Testing for time-varying long-range dependence in volatility for emerging markets
     Physica A: Statistical Mechanics and its Applications, 2005, 346, (3), 577-588 View citations (71)
153. 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 View citations (36)
154. The rescaled variance statistic and the determination of the Hurst exponent
     Mathematics and Computers in Simulation (MATCOM), 2005, 70, (3), 172-179 View citations (13)

2004

155. 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 View citations (7)
156. 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 View citations (93)
157. Testing for predictability in emerging equity markets
     Emerging Markets Review, 2004, 5, (3), 295-316 View citations (43)
158. 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 (41)
159. 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 View citations (201)

2003

160. Decentralized Portfolio Management
     Brazilian Review of Finance, 2003, 1, (2), 243-270 View citations (21)
     See also Working Paper Decentralized Portfolio Management, Working Papers Series (2001) View citations (19) (2001)
161. Optimal monetary rules: the case of Brazil
     Applied Economics Letters, 2003, 10, (5), 299-302 View citations (24)
     See also Working Paper Optimal Monetary Rules: The Case of Brazil, Working Papers Series (2003) View citations (17) (2003)
162. Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
     Brazilian Review of Finance, 2003, 1, (1), 19-43 View citations (6)
     See also Working Paper Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates, Working Papers Series (2001) View citations (27) (2001)
163. 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 (22)
     See also Working Paper The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case, Working Papers Series (2002) View citations (16) (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