Papers

• Short-selling, the supply side: Are lendersprice makers?

  The Brazilian Review of Finance
  Daniel de Sales Casula, Rodrigo De-Losso

• No-arbitrage matrices of exchange rates: Some characterizations

  International Journal of Economic Theory
  Wilfredo L. Maldonado, Juan José Egozcue, Vera Pawlowsky-Glahn

• Long-term stock returns in Brazil: Volatile equity returns for U.S.-like investors

  International Journal of Finance & Economics
  Eurilton Araújo,Ricardo D. Brito,Antonio Z. Sanvicente

• An international reserves variation threshold to increase loan funding

  International Economics and Economic Policy volume
  Wilfredo L. Maldonado, Jorge Guillén & Jussara Ribeiro

• 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.

• A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US

  Journal of Economic Dynamics and Control
  VIEIRA, F., CHAGUE, F. and FERNANDES, M.

• 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.

• 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.