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Papers

Which Factors Matter to Investors? Evidence from Brazilian Mutual Funds

Revista Brasileira de Gestão de Negócios, forthcoming
CAVALCANTE FILHO, E., DE-LOSSO, R. and SANTOS, J.

Unskilled fund managers: Replicating active fund performance with few ETFs.

International Review of Financial Analysis, Vol. 78, November 2021
CAVALCANTE FILHO, E., DE-LOSSO, R. and MOREIRA, F.

Behavior biases in macroeconomic forecasts

Estudos Econômicos, Vol. 51, No. 2
DE-LOSSO, R. and NASSER, H.

Price Transparency in OTC Equity Lending Markets: Evidence From a Loan Fee Benchmark

Journal of Financial Economics, forthcoming
CEREDA, F., CHAGUE, F., DE-LOSSO, R., GENARO, A. and GIOVANNETTI, B.

Generating Stochastic Processes Through Convolutional Neural Networks

Journal of Control, Automation and Electrical Systems, January 2020
NETO, F. F., DE-LOSSO, R., CAVALCANTI, P. D. and ADMASU, A. S.

The short-selling skill of institutions and individuals

Journal of Banking and Finance, Volume 101, April 2019, Pages 77-91
CHAGUE, F., DE-LOSSO, R. and GIOVANNETTI, B.

Well-Connected Short-Sellers Pay Lower Loan Fees: A Market-Wide Analysis

Journal of Financial Economics, Volume 123, Issue 3, March 2017, Pages 646-670
CHAGUE, F., DE-LOSSO, R., GENARO, A. and GIOVANNETTI, B.

Investing on the CAPM Pricing Error

Technology and Investment, Volume 8, Issue 1, February 2017, Pages 67-82
CAVALCANTE FILHO, E. and SANTOS, J.

Variance Premium and Implied Volatility in a Low-Liquidity Option Market

Revista Brasileira de Economia, Volume 71, Issue 1, 2017, Pages 3-28
ASTORINO, E., CHAGUE, F., GIOVANNETTI, B. and SILVA, M.

Forecasting the Brazilian yield curve using forward-looking variables

International Journal of Forecasting, Volume 33, Issue 1, January-March 2017, Pages 121-131
VIEIRA, F., FERNANDES, M. and CHAGUE, F.

A Monte Carlo multi-asset option pricing approximation for general stochastic processes

Chaos, Solitons and Fractals, Volume 88, July 2016, Pages 75-99
ARISMENDI, J. and GENARO, A.

Systematic multi-period stress scenarios with an application to CCP risk management

Journal of Banking & Finance, Volume 67, June 2016, Pages 119-134
GENARO, A.

Operações com opções flexíveis de índices realizadas no mercado de balcão podem criar condições artificiais de demanda, oferta ou preço?

Revista de Direito das Sociedades e dos Valores Mobiliários, May 2016, Pages 149-174
SANTOS, J. and HORTA, L.

Estimating doubly stochastic Poisson process with affine intensities by Kalman filter

Statistical Papers, Volume 56, Issue 3 (August 2015), Pages 723-748
GENARO, A. and SIMONIS, A.

Central Bank Communication Affects the Term-Structure of Interest Rates

Revista Brasileira de Economia, Volume 69, N.2 (2015), Pages 147-162
CHAGUE, F., DE-LOSSO, R., GIOVANNETTI, B. and MANOEL, P.

Performance of Mutual Equity Funds in Brazil – A Bootstrap Analysis

EconomiA, Volume 15, Issue 3, September-December 2014, Pages 294–306
LAES, M. and SILVA, M.

Short-Sellers: Informed but Restricted

Journal of International Money and Finance, Volume 47, October 2014, Pages 56–70
CHAGUE, F., DE-LOSSO, R., GENARO, A. and GIOVANNETTI, B.

Asset Pricing Under Quantile Utility Maximization

Review of Financial Economics, November 2013
GIOVANNETTI, B.

Nonlinear Forecasting Using Factor Augmented Models

Journal of Forecasting, 2013
GIOVANNETTI, B.

Sistema de Amortização por Múltiplos Contratos: a Falácia do Sistema Francês

Economic Analysis of Law Review, 2013
DE-LOSSO, R.; GIOVANNETTI, B.; RANGEL, A.