This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure ...

Essa tese é composta por dois capítulos. No primeiro, desenvolvo um modelo para quantificar o papel da heterogeneidade setorial, em relação ao acesso a crédito, na determinação dos efeitos da integração financeira. Fricções ...

Esta tese é composta de três artigos sobre finanças. O primeiro tem o título 'Nonparametric Option Pricing with Generalized Entropic Estimators ' e estuda um método de apreçamento de derivativos em mercados incompletos. ...

This thesis is dedicated to studies in finance. The topics are distributed in two subareas, microstructure and asset pricing. There is also an insertion of the study in corporate finance, since we deal with the corporate ...

I study the asset-pricing implications in an cnviromncnt with feedback traders and rational arbitrageurs. Feedback traders are defined as possible naive investors who buy after a raise in prices and sell after a drop in ...

This thesis is composed of four essays referent to the subjects of macroeconometrics and nance. In each essay, which corresponds to one chapter, the objective is to investigate and analyze advanced econometric techniques, ...

This thesis is composed of three essays referent to the subjects of macroeconometrics and Önance. In each essay, which corresponds to one chapter, the objective is to investigate and analyze advanced econometric techniques, ...

In an early paper, Cavalcanti and Wallace (2001) showed, using a computable version of Cavalcanti-Wallace model (CW-1999), that optimal regulation induces banks to pay interests, instead of contracting the money supply in ...

Esta tese de doutorado está composta por quatro ensaios em macroeconometria e finanças com aplicações nas áreas de abertura comercial, custo de bem estar do ciclo de negócios e taxas de juros. No primeiro ensaio analisamos ...