XXIII Encontro Brasileiro de Finanças - Anais

Econometrics and Numerical Methods - 26

Mitigating the choice of the duration in DDMS models through a parametric link

Douglas Eduardo Turatti , Fernando Henrique de Paula e Silva Mendes , Guilherme Pumi

A machine learning-based analysis on the causality of financial stress in banking institutions

Daniel Tavares de Castro , Ivan Ricardo Gartner , João Gabriel de Moraes Souza , Yaohao Peng

Econometrics and Numerical Methods Big Data Quantitative Finance Explainable Artificial Intelligence Ensemble Methods Supervised Machine Learning Banking

Análise de Sentimento no Twitter e sua Influência no Mercado Financeiro: Um Estudo de Caso do Índice IBOVESPA

Andressa Lemes Proque , Diego Pitta de Jesus , Elvira Helena Oliveira de Medeiros , Lucas Lucio Godeiro

Econometrics and Numerical Methods Previsão do IBOVESPA; Análise de Sentimentos; twitter; Indicadores Técnicos.

Bayesian workflow for term structure modeling

Thomas Martins

Econometrics and Numerical Methods Term structure of interest rates Bayesian data analysis Bayesian inference Financial econometrics Time series modeling

Climate Risk: The impacts of temperature shocks in Brazilian Market

Adriano Barasal Morales , Anton Vrieling , Márcio Poletti Laurini

Econometrics and Numerical Methods Climate Finance Global Warming Risk Premium Temperature Risk.

Competition and Efficiency in Procurement Auctions: Evidence from a million Brazilian auctions

Bernardo Spitz Paiva , Luiz Claudio Sacramento , Rodrigo de Oliveira Leite

Econometrics and Numerical Methods reverse auctions procurements competition

Decomposition of the nominal and real yield curve, term premium dynamics, and inflation forecast in Brazil

João Frois Caldeira , Werley da Costa Cordeiro

Econometrics and Numerical Methods Yield curve inflation risk premium affine term-structure model expected inflation Break-even inflation rate.

Does portfolio resampling really improve out-of-sample performance? evidence from the Brazilian market.

André Oliveira , Carlos Trucios , Pedro L. Valls Pereira

Econometrics and Numerical Methods Bootstrapping Covariance Matrix Diversification Efficient Frontier Markowitz Portfolio Allocation.

Estimating time-varying factors’ variance in the string term structure model with stochastic volatility

THIAGO RAMOS

Econometrics and Numerical Methods Interest Rate Derivatives; Macroeconomic Uncertainty; Financial Economics.

Exploring efficient price between prices of Ethereum and Gold

Diogo de Prince , Emerson Fernandes Marçal , Pedro L. Valls Pereira

Econometrics and Numerical Methods Ethereum price Efficient price Gold price Cointegrating relationship

Exploring time-varying efficient price between prices of Ethereum and Gold

Diogo de Prince , Emerson Fernandes Marçal , Pedro L. Valls Pereira

Econometrics and Numerical Methods Ethereum price Efficient price Gold price time-varying cointegrating relationship

Fiscal Multipliers in Brazil through the MIDAS Lens

Andreza Palma , Renan Santos Alves

Econometrics and Numerical Methods Fiscal multiplier mixed frequency vector autoregression mixed data sampling Fiscal Policy

Forecasting The Yield Curves Using Macroeconomics Expectations and Time-Varying Volatility

GUILHERME VALLE MOURA , João Frois Caldeira , Werley Cordeiro

Econometrics and Numerical Methods Forecasting yield curve time-varying volatility dynamic factor models

Inflation Forecasting using Unstructured Data: The Benefits of News-based Indexes

Gilberto Boaretto , Marcelo C. Medeiros , Marcelo Fernandes , Thiago Milagres

Econometrics and Numerical Methods inflation forecasting unstructured data Twitter newspapers elastic net adaLASSO.

IS MONETARY POLICY NEUTRAL IN RELATION TO STOCK RETURNS AND/OR VOLATILITY?

Adilson Padovan Junior , Isadora Abila Tarosso , Joilson Giorno

Econometrics and Numerical Methods Monetary Policy; Volatility; Ibovespa; GARCH.

Labor market and systemic risk: a network-based approach

Michel Alexandre , Thiago Christiano Silva

Econometrics and Numerical Methods mercado de trabalho risco sistêmico redes complexas

Modelagem de volatilidade estocástica via aproximações de Laplace aninhadas integradas: uma extensão multifatorial e multivariada

João Pedro Coli de Souza M. Nacinben , Marcio Poletti Laurini

Econometrics and Numerical Methods Modelos Multivariados de Volatilidade Estocástica. Aproximações de Laplace. Volatilidade Estocástica Fatorial. Inferência Bayesiana Aproximada.

OIL PRICE FORECAST: A COMPARISON BETWEEN ARIMA, LSTM AND ARIMA-LSTM MODELS

Cássio da Nóbrega Besarria , Cássio Nunes dos Anjos , Diego Pitta de Jesus , Hyolitta Adrielle Costa de Araújo , Rennan Kertlly de Medeiros

Econometrics and Numerical Methods Forecasting models; Oil; ARIMA-LSTM.

On the Estimation of Asymmetric Long Memory Stochastic Volatility Models

Mauricio Zevallos , Omar Abbara

Econometrics and Numerical Methods value-at-risk leverage effect long memory

Realized Multivariate GARCH with Factors

Murilo Getlinger Coelho

Econometrics and Numerical Methods Financial Volatility Realized GARCH High Frequency Data Multivariate Modeling Correlation Matrix Factors

Revisiting Volatility Tail Codependency in Cryptocurrency Markets

João Pedro Malim Franco , Pedro Luiz Paolino Chaim

Econometrics and Numerical Methods Bitcoin; Cryptocurrencies; Tail-Risk; Safe Haven; CoVaR

Risk forecasting comparisons in decentralized finance: An approach in constant product market makers.

Fernanda Müller , Lucas Mussoi Almeida , Marcelo Scherer Perlin

Econometrics and Numerical Methods Decentralized Finance Risk Cryptocurrency Liquidity pool

The correct title is 'Sources of performance improvement in global pollution elimination fund: A learning progressions hypothesis

Claudio Lucinda , David Grover

Econometrics and Numerical Methods Organizational performance learning curve global pollution learning progressions

The effects of Brazilian Central Bank Communication on the Yield Curve

Cássio Roberto de Andrade Alves , Márcio Poletti Laurini

Econometrics and Numerical Methods Yield Curve Sentiment Analysis Bayesian Estimation Central Bank Communication

Valor Justo de Carried Interest de Fundos de Investimento

MARCUS DA COSTA MORAES

Econometrics and Numerical Methods Carried interest Taxa de carregamento Carry Valor justo Fundos de investimento

What events matter for exchange rate volatility ?

Hedibert Freitas Lopes , Igor Ferreira Batista Martins

Econometrics and Numerical Methods Stochastic Volatility Macroeconomic Announcements Sparsity Seasonality

Voltar

Asset pricing, investments, and Derivatives
Corporate Finance, Intermediation, and Banking
Econometrics and Numerical Methods

Área temática - 34 resultados

Caracterização Físico-Química de sabugo de milho (Zea Mays L.) in natura e pré-tratado para aplicação como bioadsorventes

Gustavo Silva de Oliveira, Simonny Montthieln Araújo Vasconcelo, Adriano Jakelaitism, Leando Spindola Pereira, Gustava Dorneles de Souza