XXIV Encontro Brasileiro de Finanças - Anais

Trabalhos
Áreas temáticas

Econometria Financeira (Financial Econometrics) - 28

Brazilian stock market: connectivity among financial and non-financial sectors

Alexandre Vasconcelos Lima , Marcelo de Oliveira Passos , Mathias Schneid Tessmann , Omar Barroso Khodr , Vinícius da Silva Braga

Time-varying bias-corrected average forecast

Gilberto Boaretto , Marcelo C. Medeiros

Econometria Financeira (Financial Econometrics) inflation forecasting combination of forecasts bias correction time-varying parameters Kalman filter.

Métodos de machine learning para reconciliação ótima de séries temporais hierárquicas e agrupadas de instituições financeiras

Alberson da Silva Miranda , Guilherme Armando de Almeida Pereira

Econometria Financeira (Financial Econometrics) Economia bancária Séries temporais hierárquicas Reconciliação ótima Machine learning

Money Talks, Sentiment Walks: Navigating the News-Finance Nexus

Fábio Mendonça , Fernando Morgado Dias , Marcus Vinicius Santos , Thiago Christiano Silva

Econometria Financeira (Financial Econometrics) Finance; Sentiment Analysis; Causal Discovery; LPCMCI; Gaussian Process Regression.

CASH DISTRIBUTION TO SHAREHOLDERS AND IMPACTS OF A TAX REFORM IN BRAZIL

ANDRÉ CARVALHAL , LUCAS GIANINNI RAMOS DA RIN

Econometria Financeira (Financial Econometrics) tax reform dividend policy juros sobre capital próprio dividends shareholder valuation Brazil.

Multivariate Risk Analyzes in Cryptocurrency Market: An Optimal Transport Theory Approach

João Pedro Malim Franco

Econometria Financeira (Financial Econometrics) Tail Risk Criptocurrencies Optimal Transport Superquantiles Backtesting

Bootstrap Estimator Approach to Financial Stability

Roseli Basso-Silva , Wesley Augusto de Freitas Borges

Econometria Financeira (Financial Econometrics) Banks Probability of Default Bootstrap Lasso

Hedging Interest Risk with a Score-Driven Nelson-Siegel Model

Caio César Rostirolla , Marcelo Savino Portugal

Econometria Financeira (Financial Econometrics) Score-Driven Nelson-Siegel; Yield Curve; Time-Varying Parameters; Fixed- Income Portfolio Immunization

Can Monetary Policy Shocks Explain Unspanned Volatility?

Raul Guarini Riva

Econometria Financeira (Financial Econometrics) Affine models unspanned volatility monetary policy bipower variation quadratic variation

On RVaR backtesting: A study from Expected Shortfall procedures

Fernanda Maria Muller , Henrique Rodenbusch de Moura

Econometria Financeira (Financial Econometrics) Risk Forecasting Risk Measures Range Value at Risk (RVaR) Backtesting

Using Naïve Models to Improve US Dollar Exchange Rate Trend Prediction

Afonso de Campos Pinto , Claudia Emiko Yoshinaga , Elia Yathie Matsumoto , Emilio Del-Moral-Hernandez

Econometria Financeira (Financial Econometrics) USD/BRL Exchange Rate Behavioral Finance Machine Learning Ensemble Models Naïve Model

A Multivariate Stochastic Volatility Model Based on Generalized Factor Dynamics

João Pedro Coli de Souza Monteneri Nacinben , João Pedro Malim Franco , Márcio Laurini , Pedro Chaim

Econometria Financeira (Financial Econometrics) Multivariate Stochastic Volatility Factor Models fractional Gaussian Noise Splines Forecasting.

Enhancing Grain Portfolio Risk Management with GAMLSS and MSGARCH

Géremi Gerson Dranka , José Donizetti de Lima , Rodrigo Hermont Ozon

Econometria Financeira (Financial Econometrics) Commodity Portfolio Management; GAMLSS; Monte Carlo Simulation; Bayesian MSGARCH; Real Options Theory; Financial Time Series

Brazilian stocks with higher and lower price-earnings ratios: short or long-memory behaviour?

Edson Zambon Monte , Ricardo Ramalhete Moreira

Econometria Financeira (Financial Econometrics) efficient markets long memory price-earnings ratio Brazilian companies

Non-Gaussian Stochastic Volatility Models - Laplace-Variational Bayes Inference

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

Econometria Financeira (Financial Econometrics) Conditional volatility financial risks jumps Variational inference.

Oil Supply Shocks Are not Alike

Daniel Halloran Giuseppe Cuzzi , Yihao Lin

Econometria Financeira (Financial Econometrics) Supply shocks Oil Market OPEC SVEC models

Oil Fundamental Value and the Business Cycles

Daniel Halloran Giuseppe Cuzzi

Econometria Financeira (Financial Econometrics) Oil Fundamental Value Oil Price Forecasting Cointegration Analysis

It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction

Alexandre Rubesam , Andrea Tamoni , Daniele Bianchi

Econometria Financeira (Financial Econometrics) Equity premium; Return predictability; Forecast combination; Encompassing fore- casts; Model complexity; Shrinkage.

The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Juan Carlos Arismendi-Zambrano , Martin Lozano , Massimo Guidolin

Econometria Financeira (Financial Econometrics) Empirical asset pricing Factor models Higher order moments Generalized Method of Moments Stochastic discount factor Beta pricing Estimation efficiency.

Multivariate Cointegration in Statistical Arbitrage

João Ramos Jungblut

Econometria Financeira (Financial Econometrics) Statistical arbitrage long-short portfolio multivariate cointegration time-series analysis econometrics.

Comparing Term Structure Estimation Techniques: An Exercise with Brazilian Data

José Augusto Fiorucci , Matheus Stivali , Raul Yukihiro Matsushita

Econometria Financeira (Financial Econometrics) Term Structure of Interest Rates Yield Curve interpolation splines multiple comparison test Nelson-Siegel model

Previsibilidade da Direção do Preço Intradiário do Bitcoin com Modelos de Random Forest

Leandro dos Santos Maciel , Paulo de Castro Rubio Poli

Econometria Financeira (Financial Econometrics) Bitcoin Previsão Dados intradiários Random Forest

Uso de Auto Machine Learning na Modelagem de Loss Given Default: Desafios e Oportunidades

Douglas Beserra Pinheiro

Econometria Financeira (Financial Econometrics) Crédito Avaliação de Modelos Machine Learning

Quantifying Systemic Risk in Cryptocurrency Markets: A High-Frequency Approach

João Pedro Malim Franco , Márcio P. Laurini

Econometria Financeira (Financial Econometrics) Conditional Value-at-Risk (CoVaR) Cryptocurrencies Backtesting

Previsão de Risco para Bitcoin e Ethereum: Uma Comparação Usando Função Score

Daniel Francisco Scolaro Cordeiro , Fernanda Maria Müller

Econometria Financeira (Financial Econometrics) Criptomoedas Bitcoin Ethereum Previsão de Risco e Função Score.

THE DYNAMIC INTERDEPENDENCE OF GLOBAL FINANCIAL MARKETS: AN ANALYSIS THROUGH DYNAMIC BAYESIAN NETWORKS

Carlos Enrique Carrasco-Gutierrez , Leandro Coghi Bernardelli , Thiago Christiano Silva

Econometria Financeira (Financial Econometrics) Dynamic Interdependence Financial Markets Dynamic Bayesian Networks Complex Networks.

Effects of oil shocks on markets in G7 countries

Marcelo Eduardo Alves da Silva , Rennan Kertlly de Medeiros , Vinícius Phillipe de Albuquerquemello

Econometria Financeira (Financial Econometrics) Stocks volatility Oil prices Oil shocks Structural VAR Local Projection

Dynamic conditional correlations and connectedness in emerging market exchange rates

Felipe Marcos da Silva , José Angelo Divino

Econometria Financeira (Financial Econometrics) Exchange rates; Volatility; Conditional correlation; Connectedness.

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Apreçamento de Ativos (Asset Pricing)
Finanças Corporativas e Bancárias (Corporate Finance and Banking)
Econometria Financeira (Financial Econometrics)
Engenharia Financeira (Financial Engineering)
Macrofinanças (Macrofinance)

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