EconPapers    
Economics at your fingertips  
 

Details about Gustavo Silva Araujo

E-mail:
Workplace:Banco Central do Brasil (Central Bank of Brazil), (more information at EDIRC)

Access statistics for papers by Gustavo Silva Araujo.

Last updated 2016-10-15. Update your information in the RePEc Author Service.

Short-id: par333


Jump to Journal Articles

Working Papers

2016

  1. Mercado de Opções no Brasil é Eficiente? Um Estudo a partir da Estratégia Delta-Gama-Neutra com Opções da Petrobras
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2015

  1. As Atuações Cambiais do Banco Central Afetam as Expectativas de Mercado?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Há Efeito Manada em Ações com Alta Liquidez do Mercado Brasileiro?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. OTC Derivatives: Impacts of Regulatory Changes in the Non-Financial Sector
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Journal of Financial Stability (2016)

2014

  1. ASSESSING DAY-TO-DAY VOLATILITY: DOESTHE TRADING TIME MATTER?
    Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
    See also Journal Article in Brazilian Review of Finance (2014)
  2. Indicadores Antecedentes Extraídos de Preços de Ativos em Corte Transversal
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. POLÍTICA MONETÁRIA E O COMPONENTE DEASSIMETRIA DE INFORMAÇÃO EMBUTIDO NO SPREAD DO MERCADO FUTURO DETAXASDE JUROS NO BRASIL
    Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads

2013

  1. A Influência da Assimetria de Informação no Retorno e na Volatilidade das Carteiras de Ações de Valor e de Crescimento
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Política Monetária e Assimetria de Informação: um estudo a partir do mercado futuro de taxas de juros no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. Risco Sistêmico no Mercado Bancário Brasileiro - Uma abordagem pelo método CoVar
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2012

  1. Avaliando a Volatilidade Diária dos Ativos: a hora da negociação importa?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2011

  1. CUSTO DE ASSIMETRIA DE INFORMAÇÃO DEINFORMAÇÃO EMBUTIDO NO SPREAD DE AÇÕES NO BRASIL E GOVERNANÇACORPORATIVA
    Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
  2. The Adverse Selection Cost Component of the Spread of Brazilian Stocks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Emerging Markets Review (2014)

2005

  1. Adequação das Medidas de Valor em Risco na Formulação da Exigência de Capital para Estratégias de Opções no Mercado Brasileiro
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Avaliação de Métodos de Cálculo de Exigência de Capital para Risco Cambial
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. Simulação Histórica Filtrada: Incorporação da Volatilidade ao Modelo Histórico de Cálculo de Risco para Ativos Não-Lineares
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2004

  1. Carteiras de Opções: Avaliação de Metodologias de Exigência de Capital no Mercado Brasileiro
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2003

  1. Avaliação de Métodos de Cálculo de Exigência de Capital para Risco de Mercado de Carteiras de Ações no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Contornando os Pressupostos de Black & Scholes: Aplicação do Modelo de Precificação de Opções de Duan no Mercado Brasileiro
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. Inclusão do Decaimento Temporal na Metodologia Delta-Gama para o Cálculo do VaR de Carteiras Compradas em Opções no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

Journal Articles

2016

  1. OTC derivatives: Impacts of regulatory changes in the non-financial sector
    Journal of Financial Stability, 2016, 25, (C), 132-149 Downloads
    See also Working Paper (2015)

2015

  1. Is There Herd Effect on Stocks with High Liquidity of the Brazilian Market?
    Journal of Financial Innovation, 2015, 1, (2), 2 Downloads

2014

  1. Assessing Day-to-Day Volatility: Does the Trading Time Matter?
    Brazilian Review of Finance, 2014, 12, (1), 41-66 Downloads
    See also Working Paper (2014)
  2. The adverse selection cost component of the spread of Brazilian stocks
    Emerging Markets Review, 2014, 21, (C), 21-41 Downloads
    See also Working Paper (2011)

2006

  1. Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies
    Brazilian Review of Finance, 2006, 4, (1), 97-118 Downloads

2005

  1. Evaluation of Foreign Exchange Risk Capital Requirement Models
    Brazilian Review of Finance, 2005, 3, (2), 223-249 Downloads
 
Page updated 2017-04-25