Search Results - "Klotzle, Marcelo Cabus"

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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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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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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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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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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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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Teoria do Prospecto: fatores determinantes nas preferências ao risco no Brasil by Lobel, Robert Eugene, Klotzle, Marcelo Cabus, Silva, Paulo Vitor Jordão da Gama, Pinto, Antonio Carlos Figueiredo

“…Resumo: A preferência ao risco é um fator importante que influencia uma ampla gama de decisões financeiras pessoais (SNELBECKER; ROSZKOWSKI; CUTLER, 1990) e é…”
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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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Effects of Idiosyncratic Volatility in Asset Pricing by Leite, Andre Luis, Pinto, Antonio Carlos Figueiredo, Klotzle, Marcelo Cabus

“…This paper aims to evaluate the effects of the aggregate market volatility components - average volatility and average correlation - on the pricing of…”
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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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Modelo de Cinco Fatores de Risco: precificando carteiras setoriais no mercado acionário brasileiro by Vieira, Matheus Duarte Valente, Maia, Vinicius Mothé, Klotzle, Marcelo Cabús, Figueiredo, Antonio Carlos

“…O prêmio de risco dos ativos é a variável central dos modelos de finanças que buscam estimar o custo do capital das empresas, custo esse empregado, por…”
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Assessment of market efficiency in Argentina, Brazil and Chile: an event study of mergers and acquisitions by Simões, Mario Domingues, Macedo-Soares, T. Diana L. van Aduard de, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo

“…This paper presents an investigation into the relationship between the announcement of mergers and acquisitions, the existence of positive abnormal returns for…”
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Connectedness across environmental, social, and governance (ESG) indices: evidence from emerging markets by Assaf, Ata, Klotzle, Marcelo Cabus, Palazzi, Rafael Baptista, Demir, Ender

“…Understanding the spillover effects of environmental, social, and governance (ESG) indexes in emerging economies is crucial to gauge risk of contagion and the…”
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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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