Search Results - "Klötzle, Marcelo Cabús"

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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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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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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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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Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19 by Palazzi, Rafael Baptista, Assaf, Ata, Klotzle, Marcelo Cabus

“…Brazil's significant commodity production is internationally recognized, yet the absence of a mature futures market exposes it to price risks and international…”
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Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets by Cunha, Felipe Arias Fogliano de Souza, Oliveira, Erick Meira, Orsato, Renato J., Klotzle, Marcelo Cabus, Cyrino Oliveira, Fernando Luiz, Caiado, Rodrigo Goyannes Gusmão

“…To contribute to overcoming global sustainability challenges, investors have been increasingly interested in making sustainable investments and incorporating…”
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Market Stress and Herding: A New Approach to the Cryptocurrency Market by Raimundo Júnior, Gerson de Souza, Palazzi, Rafael Baptista, Tavares, Ricardo de Souza, Klotzle, Marcelo Cabus

“…Herding is a feature of investor behavior in financial markets, particularly in market stress. We apply an approach based on the cross-sectional dispersion of…”
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FXvol: Indicador Antecedente da Taxa de Câmbio by Mothé Maia, Vinicius, Leite, André Luís, Figueiredo, Antonio Carlos, Cabús Klötzle, Marcelo

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A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil by Argento, Pedro, Klotzle, Marcelo Cabus, Figueiredo Pinto, Antonio Carlos, Gomes, Leonardo Lima

“…Purpose Brazil is characterized by the inexistence of a more robust system of guarantees and rules to minimize risks and protect agents in energy futures…”
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Water: The Only Factor Influencing the Price of Energy in the Spot Market? by Vinicius Mothé Maia, Bruno Lessa Meireles, Marcelo Cabús Klötzle, Antonio Carlos Figueiredo Pinto, Leonardo Lima Gomes

“…The Brazilian electric energy generation system is based on its hydroelectric power plants, making the country dependent on proper rainfall and, thus, raising…”
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Investor behavior in ETF markets: a comparative study between the US and emerging markets by da Costa Neto, Augusto Ferreira, Klotzle, Marcelo Cabus, Figueiredo Pinto, Antonio Carlos

“…Purpose The purpose of this paper is to present the results of a study on investor behavior in exchange-traded fund (ETF) markets. The standard feedback…”
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Herding and Google search queries in the Brazilian stock market by Carvalho, Jeferson, Jordão da Gama Silva, Paulo Vitor, Klotzle, Marcelo Cabus

“…PurposeThis study investigates the presence of herding in the Brazilian stock market between 2012 and 2020 and associates it with the volume of searches on the…”
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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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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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Blockholders and firm value: Evidence from Brazil by Lombello, Bruno Brasil, Martins, Henrique Castro, Klotzle, Marcelo Cabús

“…This study investigates the relationship between the presence of large shareholders (blockholders) and the value of Brazilian companies. The dataset…”
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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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FXvol: Indicador Antecedente da Taxa de Câmbio by Vinicius Mothé Maia, André Luís Leite, Antonio Carlos Figueiredo, Marcelo Cabús Klötzle

“…A forte correlação negativa entre a Taxa de Câmbio Brasil-EUA (Ptax) e o índice do mercado de ações (Ibovespa) tem sido amplamente documentada na literatura…”
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Água: Único Fator a Influenciar o Preço da Energia no Mercado Spot? by Maia, Vinicius Mothé, Meireles, Bruno Lessa, Klötzle, Marcelo Cabús, Pinto, Antonio Carlos Figueiredo, Gomes, Leonardo Lima

“…A geração de energia elétrica brasileira é baseada na geração hidrelétrica, causando uma dependência do regime de chuvas que resulta em possíveis situações de…”
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Inovação e a capacidade de apropriar benefícios associados aos investimentos em P&D no Brasil by Silva, Raphael Braga da, Motta, Luiz Felipe Jacques da, Klötzle, Marcelo Cabús, Pinto, Antonio Carlos Figueiredo, Silva, Paulo Vitor Jordão da Gama

“…Este trabalho busca analisar a capacidade das empresas brasileiras de se apropriarem de benefícios associados aos investimentos em P&D, seguindo a metodologia…”
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