A variety of models has been proposed for yield curve forecasting. In this paper we present a dynamic latent factor model for Brazilian interest rate term-structure forecasting, based in three major information sources: macroeconomic variables, surveys and risk premium. We use the proposed model...

This study analyzes the adverse selection cost component embedded in the spreads of Brazilian stocks. We show that it is higher than in the U.S. market and presents an intraday U-shape pattern (i.e., it is higher at the beginning and at the end of the day). In addition, we investigate the...

In this work we compare the interest rate forecasting performance using a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predictive power, but it does not...

In this article we study the deposit-taking and lending behavior of Brazilian banks before and after the subprime crisis. The distribution of both series present changes between these two periods. In addition, we implemented a vector autoregression model in order to construct the impulse...

Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a...

Forecasting financial crises has enormous practical importance. In this paper we propose a new measure of risk of extreme loss using data of a cross-section of asset prices. This measure presents as practical advantage the fact that it does not depend on the existence of a liquid market of...

The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard...