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Marcelo C. Carvalho,Marco Aurélio S. Freire,Marcelo Cunha Medeiros,Leonardo R. Souza
Pág. pp. 55 - 77
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns s...
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Daniel Chrity,Márcio G. P. Garcia,Marcelo Cunha Medeiros
Pág. pp. 123 - 140
The forward exchange rate is widely used in international finance whenever the analysis of the expected depreciation is needed. It is also used to identify currency risk premium. The difference between the spot rate and the forward rate is supposed to be...
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Márcio Gomes Pinto Garcia,Marcelo Cunha Medeiros,Francisco Eduardo de Luna e Almeida Santos
Pág. 319?349
This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate model of realized volatility. To study this issue, we build a high frequency database with the most actively traded Brazilian stocks. C...
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Ricardo Pereira Câmara Leal
Marcelo de Cunha Medeiros has served as an Associate Editor since volume 3, issue 2, 2005 and is now stepping down. On behalf of the Brazilian Society of Finance and of all editorial board members I want to thank him for his service to the Review. His wo...
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