Details about Fernando Antonio Lucena Aiube

Access statistics for papers by Fernando Antonio Lucena Aiube.

Last updated 2025-02-10. Update your information in the RePEc Author Service.

Short-id: pai41

Working Papers

2016

1. Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets
   Working Papers Series, Central Bank of Brazil, Research Department View citations (6)

Journal Articles

2023

1. Forecasting inflation time series using score‐driven dynamic models and combination methods: The case of Brazil
   Journal of Forecasting, 2023, 42, (2), 369-401

2021

2. Transition and measurement noise correlation in affine and Gaussian models: the case of oil prices
   International Journal of Financial Markets and Derivatives, 2021, 8, (1), 50-64

2020

3. Network connectedness of green bonds and asset classes
   Energy Economics, 2020, 86, (C) View citations (130)
4. On the Brazilian fuel pricing policy: a Gaussian factor model approach
   Applied Economics, 2020, 52, (8), 839-850
5. The impact of co-jumps in the oil sector
   Research in International Business and Finance, 2020, 52, (C) View citations (5)

2019

6. Can Gaussian factor models of commodity prices capture the financialization phenomenon?
   The North American Journal of Economics and Finance, 2019, 50, (C)
7. Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]
   Nova Economia, 2019, 29, (1), 223-248

2017

8. Evaluating the risk premium in the U.S.A. natural gas market: evidence from low-price regime
   Applied Economics, 2017, 49, (9), 860-871

2014

9. Analysis of the Behavior of Volatility in Crude Oil Price
   Journal of Economic and Financial Studies (JEFS), 2014, 2, (1), 64-72
10. Conditional CAPM: Time-varying Betas in the Brazilian Market
    Brazilian Review of Finance, 2014, 12, (2), 163-199
11. On the comparison of Schwartz and Smith's two- and three-factor models on commodity prices
    Applied Economics, 2014, 46, (30), 3736-3749 View citations (3)

2009

12. Evaluating cash benefits as real options for a commodity producer in an emerging market
    Brazilian Review of Finance, 2009, 7, (3), 361-375

2008

13. Analysis of commodity prices with the particle filter
    Energy Economics, 2008, 30, (2), 597-605 View citations (10)

2006

14. Processos estocásticos dos preços das commodities: uma abordagem através do filtro de partículas
    Revista Brasileira de Economia - RBE, 2006, 60, (3)

1997

15. Avaliação econômica de concessões na indústria de produção de petróleo
    Revista Brasileira de Economia - RBE, 1997, 51, (1)