Search Results - "Figueiredo Pinto, Antonio Carlos"

Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil by Pelajo, Jonas Caldara, Gomes, Leonardo Lima, Pinto, Antonio Carlos Figueiredo, Klotzle, Marcelo Cabus

“…Theoretical framework--The main theoretical bases were diffusion processes, with jumps and without jumps, and the pricing model developed by Merton (1976)…”
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Study on the relationship between the IVol-BR and the future returns of the Brazilian stock market by Cainelli, Paloma Vanni, Figueiredo Pinto, Antonio Carlos, Klotzle, Marcelo Cabus

“…ABSTRACT In 2015, the Financial Economics Research Center (NEFIN) of the University of São Paulo proposed an implicit volatility index for the Brazilian stock…”
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Herding behavior and contagion in the cryptocurrency market by da Gama Silva, Paulo Vitor Jordão, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, Gomes, Leonardo Lima

“…This study aimed to analyze herding behavior and contagion phenomena in the cryptocurrency market. We selected 50 of the most liquid and capitalized currencies…”
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PROSPECT THEORY: A PARAMETRIC ANALYSIS OF FUNCTIONAL FORMS IN BRAZIL by LOBEL, ROBERT EUGENE, KLOTZLE, MARCELO CABUS, SILVA, PAULO VITOR JORDÃO DA GAMA, PINTO, ANTONIO CARLOS FIGUEIREDO

“…ABSTRACT This study aims to analyze risk preferences in Brazil based on prospect theory by estimating the risk aversion parameter of the expected utility…”
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Non linear models and the load of an electricity distributor by Simões, Mario Domingues, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, Gomes, Leonardo Lima

“…Purpose – The purpose of this study is to ascertain whether nonlinearities could be present in electricity loads observed in subtropical environments, where…”
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Analyzing herding behavior in commodities markets – an empirical approach by Júnior, Gerson de Souza Raimundo, Palazzi, Rafael Baptista, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo

“…•We test herding in the commodities market.•We analyze the behavior of fifteen commodities between 2000 and 2018.•We analyze food commodities in a separate…”
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Size, value, profitability, and investment: Evidence from emerging markets by Leite, André Luis, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, da Silva, Aldo Ferreira

“…In this study, we investigate how the Fama and French three-, four-, and five-factor models perform in emerging markets. We find that the four- and five-factor…”
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The effects of economic policy uncertainty on stock market returns: Evidence from Brazil by Gea, Cristiane, Vereda, Luciano, Figueiredo Pinto, Antonio Carlos, Klotzle, Marcelo Cabus

“…This article investigates the effects of economic policy uncertainty on the Brazilian stock market. We link excess returns and dividend growth rates to the…”
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The Fama-French’s five-factor model relation with interest rates and macro variables by Leite, André Luis, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, da Silveira Barbedo, Claudio Henrique

“…Innovations in variables describing future investment opportunities command a risk premium and are correlated with Fama-French factors. As showed in…”
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Dynamic Associations between GDP and Crude Oil Prices in Brazil: Structural Shifts and Nonlinear Causality by de Oliveira, Erick Meira, Cyrino Oliveira, Fernando Luiz, Klötzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo

“…This paper puts forward an in-depth investigation of the nonlinear associations between Gross Domestic Product (GDP) and international crude oil prices using…”
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Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach by Viola, Alessandra Pasqualina, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, da Silveira Barbedo, Claudio Henrique

“…•We study the impact of Central Bank of Brazil’s forex interventions from 2003 to 2014.•We compare daily intervention and net accumulated position as…”
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Prospect theory and narrow framing bias: Evidence from emerging markets by do Nascimento Junior, Arnaldo João, Klotzle, Marcelo Cabus, Brandão, Luiz Eduardo T., Pinto, Antonio Carlos Figueiredo

“…•We analyze the narrow framing bias in investment decisions in emerging countries.•We empirically identify the predictive power of prospect theory for stock…”
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Political risk, fear, and herding on the Brazilian stock exchange by Raimundo Júnior, Gerson De Souza, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, Luis Leite, André

“…This study analyses beta herding in the Brazilian stock market using a state-space model, controlled by two company groupings: those listed on the market index…”
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Do Market Conditions Affect the Tracking Efficiency of Exchange-traded Funds? Evidence from Developed and Emerging Markets by Neto, Augusto Ferreira da Costa, Klötzle, Marcelo Cabús, Pinto, Antonio Carlos Figueiredo

“…This study examines the tracking efficiency of a sample of exchange-traded funds (ETFs) from seven different emerging and developed markets, in bullish and…”
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The Breakdown of Idiosyncratic Volatility Into Expected and Unexpected Components and Its Effects on Stock Returns in Brazil by da Silva, Raphael Braga, Bressane, Bernardo Prôa, Viola, Alessandra Pasqualina, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, de Macedo Soares, T. Diana L. van Aduard

“…Based on studies of idiosyncratic volatility developed in the recent literature, this study analyzes its relation with expected returns through the breakdown…”
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Evidence of risk premiums in emerging market carry trade currencies by Coelho dos Santos, Marcelo Bittencourt, Klotzle, Marcelo Cabus, Figueiredo Pinto, Antonio Carlos

“…•In all countries surveyed in this study, neither the expectations of the CIP nor UIP hold.•In all currencies we confirmed the presence of risk premiums.•There…”
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How do young low-income university students deal with risk and time preferences in Brazil? by Santos, Érica Teixeira dos, Klotzle, Marcelo Cabus, Silva, Paulo Vitor Jordão da Gama, Pinto, Antonio Carlos Figueiredo

“…ABSTRACT This article sought to understand the behavior of young low-income university students through an experiment based on prospect and hyperbolic…”
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Scenario analysis in the BNDES experience: integrating operational risk management with the measurement of capital by Morais, Macelly Oliveira, Pinto, Antonio Carlos Figueiredo, Klotzle, Marcelo Cabus

“…ABSTRACT Internal operational risk models have not yet been established as a methodology for calculating regulatory capital. These models, which must be…”
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Estimating the credibility of Brazilian monetary policy using a Kalman filter approach by de Freitas Val, Flávio, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, Gaglianone, Wagner Piazza

“…The objective of this study is to estimate the credibility of the monetary policy followed by the Central Bank of Brazil (BCB) during the period 2006–2015. To…”
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Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case by Val, Flávio de Freitas, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, Barbedo, Claudio Henrique da Silveira

“…This article examines the relationship between the monetary policy implemented by the Central Bank of Brazil and the stock market. We implement event study…”
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