Zobrazeno 1 - 10
of 38
pro vyhledávání: '"José Renato Haas Ornelas"'
Publikováno v:
Economia Aplicada, Vol 16, Iss 4, Pp 567-577 (2012)
This paper uses the Liu et al. (2007) approach to estimate the optionimplied Risk-Neutral Densities (RND), real-world density (RWD), and relative risk aversion from the Brazilian Real/US Dollar exchange rate distribution. Our empirical application us
Externí odkaz:
https://doaj.org/article/ef34f2ad38e64a85bdf2f9726ba971e6
Publikováno v:
Revista Brasileira de Finanças, Vol 9, Iss 1, Pp 9-26 (2011)
Building Risk-Neutral Density (RND) from options data is one useful way for extracting market expectations about a financial variable. For a sample of IDI (Brazilian Interbank Deposit Rate Index) options from 1998 to 2009, this paper estimates the op
Externí odkaz:
https://doaj.org/article/c55014fbe4234891a4244bf68b39e206
Publikováno v:
Revista Brasileira de Finanças, Vol 6, Iss 2, Pp 139-155 (2008)
To verify whether an empirical distribution has a specific theoretical distribution, several tests have been used like the Kolmogorov-Smirnov and the Kuiper tests. These tests try to analyze if all parts of the empirical distribution has a specific
Externí odkaz:
https://doaj.org/article/f396fe415c8d45f6ac0c0b09ccb729d9
Publikováno v:
Economia Aplicada, Vol 9, Iss 1 (2005)
The goal of this paper is to analyze the use of the Generalized Hyperbolic (GH) Distributions to model the US Dollar/Brazilian Real exchange rate in a way to produce more accurate VaR (Value at Risk) measurements. After the GH parameters estimation,
Externí odkaz:
https://doaj.org/article/2000222947cf4278842525cf0b6d72d6
We investigate how the presence of physical bank branches moderates financial technology diffusion. Our identification strategy uses services suspensions caused by criminal groups that perform hit-and-run raids exploding branch facilities and renderi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2a260b4de76e49bdfb60ccb666178fdf
https://doi.org/10.18235/0004842
https://doi.org/10.18235/0004842
Publikováno v:
International Journal of Finance & Economics. 26:1745-1772
We propose a model that combines performance‐based arbitrage, short‐sale constraints, and costly arbitrage. In the model, good earnings surprises trigger short‐covering causing price overshooting for highly shorted stocks. However, price oversh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26fe7ce1b087ec58eff1f050febb0dd2
https://doi.org/10.1002/ijfe.1876
https://doi.org/10.1002/ijfe.1876
Publikováno v:
Journal of International Money and Finance. 96:341-360
This paper extends the empirical literature on volatility risk premium (VRP) and future returns by analyzing the predictive ability of commodity currency VRP and commodity VRP. The empirical evidence throughout this paper provides support for a posit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1514e8a5778c8e1df78dcba8d7445077
https://doi.org/10.1016/j.jimonfin.2017.07.008
https://doi.org/10.1016/j.jimonfin.2017.07.008
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 79:101569
This paper investigates the role of realized and implied and their risk premia (variance and skewness) for commodities’ future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd1bbf01d7ffb39ca3d726019740e4cc
https://doi.org/10.1016/j.intfin.2022.101569
https://doi.org/10.1016/j.intfin.2022.101569
Publikováno v:
Journal of Banking & Finance. 138:106408
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9453790b13cf1c89969adb0b10ef3293
https://doi.org/10.1016/j.jbankfin.2022.106408
https://doi.org/10.1016/j.jbankfin.2022.106408
This paper studies the links between competition in the lending market and spreads of bank loans in Brazil. Evidence from a dataset of more than 13 million loan-level observations from private banks shows a positive relationship between market power,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a4410a8ff51bff99440e7f6feba7270a
https://doi.org/10.18235/0002508
https://doi.org/10.18235/0002508