Listagem FGV EPGE - Escola Brasileira de Economia e Finanças por Assunto "Mercado financeiro - Modelos matemáticos"
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Do equity and foreign currency risk premiums display common patterns?
2006-11-24In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In ... -
The effect of financiaI repression & enforcernent on entrepreneurship and economic deveIopment
2006-08-17This paper studies the effect of financiaI repression and contract enforcement on entrepreneurship and economic development. We construct and solve a general equilibrium mo deI with heterogeneous agents, occupational choice ... -
Equilibria in exchange economies with financial constraints: beyond the Cass trick
2005-08-05We consider an exchange economy under incomplete financiaI markets with purely financiaI securities and finitely many agents. When portfolios are not constrained, Cass [4], Duffie [7] and Florenzano-Gourdel [12] proved ... -
Essays on the relationship between the equity and the forward premium puzzles
2006Our research agenda consists in showing this strong relation between these puzzles based on evidences that both empirical failures are related to the incapacity of the canonical CCAPM to provide a high volatile intertemporal ...
