Expected currency returns and volatility risk premia

von Ornelas, José Renato Haas
Veröffentlicht in The North American journal of economics and finance (2019)

Volatility risk premia and future commodity returns

von Ornelas, José Renato Haas
Veröffentlicht in Journal of international money and finance (2019)

Commodity return predictability : evidence from implied variance, skewness, and their risk premia

von Finta, Marinela Adriana
Veröffentlicht in Journal of international financial markets, institutions & money (2022)

Implied volatility term structure and exchange rate predictability

von Ornelas, José Renato Haas
Veröffentlicht in International journal of forecasting (2019)

Apreçamento de opções de IDI usando o modelo CIR

von Barbachan, José Santiago Fajardo
Veröffentlicht in Estudos econômicos (2003)

Hidden risks in mean-variance optimization : an integrated-risk asset allocation proposal

von Fernandes, José Luiz Barros
Veröffentlicht in Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds (2010)

Minimising operational risk in portfolio allocation decisions

von Fernandes, José Luiz Barros
Veröffentlicht in Journal of risk management in financial institutions (2009)

Apreçamento de opçoes de IDI usando distribuiçoes hiperbólicas generalizadas

von Barbachan, José Santiago Fajardo
Veröffentlicht in Economia aplicada (2003)

Testing the liquidity preference hypothesis using survey forecasts

von Ornelas, José Renato Haas
Veröffentlicht in Emerging markets review (2015)

Hidden risks in mean-variance optimization : an integrated-risk asset allocation proposal

von Fernandes, José Luiz Barros
Veröffentlicht in Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds (2010)

Accounting for skewness in performance evaluation of Brazilian mutual funds

von Ornelas, José Renato Haas
Veröffentlicht in Banking and finance review (2009)

Estimating risk aversion, risk-neutral and real-world densities using Brazilian real currency options

von Barbachan, José Santiago Fajardo
Veröffentlicht in Economia aplicada (-2012)

Combining equilibrium, resampling, and analysts' views in portfolio optimization

von Fernandes, José Luis Barros
Veröffentlicht in Portfolio and risk management for central banks and sovereign wealth funds (2011)

Yes, the choice of performance measure does matter for ranking of USs mutual funds

von Ornelas, José Renato Haas
Veröffentlicht in International journal of finance & economics (2012)

Combining equilibrium, resampling, and analyst's views in portfolio optimization

von Fernandes, José Luiz Barros
Veröffentlicht in Journal of banking & finance (2012)

Analyzing the use of generalized hyperbolic distributions to value at risk calculations

von Barbachan, José Santiago Fajardo
Veröffentlicht in Economia aplicada (2005)

Goodness-of-fit tests focus on value-at-risk estimation

von Barbachan, José Santiago Fajardo
Veröffentlicht in Brazilian review of econometrics (2006)

Informational switching costs, bank competition, and the cost of finance

von Ornelas, José Renato Haas
Veröffentlicht in Journal of banking & finance (2022)