Benjamin Miranda Tabak

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This paper investigates cost, technical and allocative efficiencies for Brazilian banks in the recent period (2000-2007). We use Data Envelopment Analysis (DEA) to compute efficiency scores. Brazilian banks were found to have low levels of economic (cost) efficiency compared to banks in Europe and in the US. For the period with high macroeconomic volatility(More)
Keywords: Interest rates Forecasts Multiresolution analysis Wavelets Yield spread Term structure of interest rates a b s t r a c t In the present paper we apply multiresolution decomposition in order to test if the Brazilian yield spread has informational content in the prediction of inflation. Additionally, we investigate the effect of the implementation(More)
A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them(More)
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