• Combining equilibrium, resampling, and analyst's views in portfolio optimization, com José Luiz Fernandes e Oscar Martinez Cusicanqui.
Journal of Banking and Finance, Volume 36, Issue 5, May 2012, Pages 1354-1361. 
http://dx.doi.org/10.1016/j.jbankfin.2011.11.023
  • Implied volatility term structure and exchange rate predictability, com Roberto Mauad.
International Journal of Forecasting, Volume 35, Issue 4, 2019, Pages 1800-1813.
https://doi.org/10.1016/j.ijforecast.2019.03.016
  • Volatility risk premia and future commodity returns, com Roberto Mauad.
Journal of International Money and Finance, Volume 96, September 2019, Pages 341-360.
https://doi.org/10.1016/j.jimonfin.2017.07.008
  • Expected currency returns and volatility risk premia.
The North American Journal of Economics and Finance, Vol. 49, July 2019, pp. 206-234.
https://doi.org/10.1016/j.najef.2019.03.015
Reportagem no Valor Econômicohttps://valor.globo.com/financas/coluna/volatilidade-pode-indicar-rumo-de-cambio-diz-estudo.ghtml
International Journal of Finance and Economics,vol. 17 (1), 2012, pp. 61-72.
http://dx.doi.org/10.1002/ijfe.437​

Publicações Selecionadas em Periódicos
Working Papers
  • Informational Switching Costs, Bank Competition and the Cost of Finance, com Bernardus Van Doornik e Marcos Soares.
https://www.bcb.gov.br/pec/wps/ingl/wps512.pdf
Reportagem de Capa do Valor Econômicohttps://valor.globo.com/impresso/noticia/2020/02/20/bancos-atraem-cliente-e-depois-aumentam-juro.ghtml
  • Bank Competition, Cost of Credit and Economic Activity: evidence from Brazil, com Gustavo Joaquim e Bernardus Van Doornik  
https://www.bcb.gov.br/pec/wps/ingl/wps508.pdf
  • Winners and Losers When Private Banks Distribute Government Loans: Evidence from Earmarked Credit in Brazil, com Alvaro Pedraza, Claudia Ruiz Ortega e Thiago C. Silva.
https://openknowledge.worldbank.org/handle/10986/32153
Blog post about the paper: https://blogs.worldbank.org/allaboutfinance/who-wins-when-banks-distribute-government-loans-funding-small-businesses-times
  • Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia, com Marinela Finta.  
https://www.bcb.gov.br/pec/wps/ingl/wps479.pdf
  • Risco, Dívida e Alavancagem Soberana  
https://www.bcb.gov.br/pec/wps/port/TD457.pdf
Reportagem no Valor Econômicohttps://valor.globo.com/financas/coluna/estudo-do-bc-questiona-aportes-feitos-em-bancos-publicos.ghtml
  • The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks:: A transaction cost explanation to price overshootin, com Pablo Carvalho, International Journal of Finance and Economics, 2020.
https://onlinelibrary.wiley.com/doi/abs/10.1002/ijfe.1876?af=R
  • The Forecast Ability of Option-implied Densities from Emerging Markets Currencies, Brazilian Review of Econometrics, 2016. 
http://dx.doi.org/10.12660/bre.v36n12016.45406
  • Testing the liquidity preference hypothesis using survey forecasts, com Antonio Francisco Silva Jr , Emerging Markets Review, 2015. 
http://dx.doi.org/doi:10.1016/j.ememar.2015.04.006
  • Estimating Relative Risk Aversion, Risk-Neutral and Real-World densities using Brazilian Real Currency Options, com Aquiles Rocha Farias e Jose Santiago Fajardo Barbachan, Revista Economia Aplicada, 2012.
http://dx.doi.org/10.1590/S1413-80502012000400002 

  • Recovering Risk-Neutral Densities from Brazilian Interest Rate Options, com Marcelo Takami. Brazilian Finance Review V. 9 (1), pp. 9-26, 2011.
http://dx.doi.org/10.12660/rbfin.v9n1.2011.2761
  • The Benefits of International Portfolio Diversification, com José Luiz Fernandes,            International Journal of Finance and Economics 2010, V. 10 (4), pp. 72-79.
  • Accounting for skewness in performance evaluation of brazilian mutual funds​, com Aquies Farias e Antonio Francisco Silva JrBanking and Finance Review 2009, Volume 1, pp. 119-132.
http://www.bankingandfinancereview.com/bfr/index.php/bfr/article/view/23
 
​Quarta Colocação do Concurso de Trabalhos Técnicos do 20º Congresso da APIMEC 2008, APIMEC.
  • Professional Portfolio Managers, A Setting for Momentum Strategies, com José Luiz Fernandes, Juan Peña e Benjamin Tabak. Economía Financiera, 2009, N. 17, pp. 54-68.
https://aefin.es/wp-content/uploads/2019/02/A17-3_472629.pdf
  • Momentum and Reversal Puzzle in Emerging Markets, com José Luiz Fernandes. The ICFAI Journal of Behavioral Finance, v. 5, p. 54-71, 2008.
https://iupindia.in/908/IJBF_Reversal_Puzzle_54.html
  • Integrating Market and Credit Risk in Stochastic Portfolio Optimization, com José Luiz Fernandes e Marcelo Takami. The ICFAI Journal of Financial Risk Management, v. 5, p. 7-28, 2008.
https://www.iupindia.in/308/IJFRM_Integrating_Market_Portfolio_Optimization_7.html
  •  A Goodness-of-Fit Test with Focus on Conditional Value at Risk, com José Fajardo e Aquiles Farias. Revista Brasileira de Finanças, v. 6, p. 139-155, 2008.
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1300
  • Minimising Operational Risk in Portfolio Allocation Decisions, com José Luiz Fernandes, Journal of Risk Management in Financial Institutions, V. 2 (4), pp. 438-450, 2009.
https://hstalks.com/article/2283/minimising-operational-risk-in-portfolio-allocatio/
  • A Goodness-of-fit Tests Focus on Value-at-Risk Estimation, com José Fajardo e Aquiles Farias. Brazilian Review of Econometrics, v. 26, p. 309-326, 2006.
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1581
  • Analyzing the use of generalized hyperbolic distributions to value at risk calculations, com José Fajardo e Aquiles Farias. Revista de Economia Aplicada, v. 9 (1), p. 25-38, 2005.
  • Apreçamento de opções de IDI usando o modelo CIR, com José Fajardo. Estudos Econômicos, v. 33, p. 287-323, 2003.
https://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-41612003000200003
  • Apreçamento de Opções de IDI usando Distribuições Hiperbólicas Generalizadas, com José Fajardo. Revista de Economia Aplicada, v. 7, p. 767-794, 2003.
Outras Publicações em Periódicos
Livros e Capítulos de Livros
  • FINANÇAS E SISTEMA FINANCEIRO NACIONAL PARA CONCURSOS. 1ª edição. São Paulo: Editora Atlas, 2015.

  • Behavior of Equity Foreign Investors on Emerging Markets. LAP Academic Publishing, 2011.

  • Performance Attribution Methodology for Fixed Income Portfolios, com Pablo Carvalho e Antonio Francisco Silva Jr. In: Joachim Coche; Ken Nyholm; Gabriel Petre. (Org.). Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds. Basingstoke, UK: Palgrave Macmillan, 2011.
  • Hidden Risks in Mean Variance Optimization, com Jose Luiz Fernandes. In: Arjan B. Berkelaar; Joachim Coche; Ken Nyholm. (Org.). Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds. Londres: Palgrave Macmillan, 2010.
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