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Details about Gustavo Silva Araujo

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

Access statistics for papers by Gustavo Silva Araujo.

Last updated 2024-03-11. Update your information in the RePEc Author Service.

Short-id: par333


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Working Papers

2022

  1. Breakeven Inflation Rate Estimation: an alternative approach considering indexation lag and seasonality
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
  2. Lending Relationships and Currency Hedging
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
    See also Journal Article Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models, Latin American Journal of Central Banking (previously Monetaria), Elsevier (2023) Downloads View citations (8) (2023)

2018

  1. Does Investor Attention Affect Trading Volume In The Brazilian Stock Market?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article Does investor attention affect trading volume in the Brazilian stock market?, Research in International Business and Finance, Elsevier (2018) Downloads (2018)
  2. IS PETROBRAS OPTIONS MARKET EFFICIENT? A STUDY USING THE DELTA-GAMMA NEUTRAL STRATEGY
    Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads

2017

  1. Does Extreme Rainfall Lead to Heavy Economic Losses in the Food Industry?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Estimação da Inflação Implícita de Curto Prazo
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)

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 OTC derivatives: Impacts of regulatory changes in the non-financial sector, Journal of Financial Stability, Elsevier (2016) Downloads View citations (4) (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 Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
    See also Journal Article Assessing Day-to-Day Volatility: Does the Trading Time Matter?, Brazilian Review of Finance, Brazilian Society of Finance (2014) Downloads (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 Pós-Graduação 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 View citations (1)

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 Pós-Graduação 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 The adverse selection cost component of the spread of Brazilian stocks, Emerging Markets Review, Elsevier (2014) Downloads View citations (1) (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

2023

  1. Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models
    Latin American Journal of Central Banking (previously Monetaria), 2023, 4, (2) Downloads View citations (8)
    See also Working Paper Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models, Working Papers Series (2022) Downloads View citations (3) (2022)

2018

  1. Does investor attention affect trading volume in the Brazilian stock market?
    Research in International Business and Finance, 2018, 44, (C), 480-487 Downloads
    See also Working Paper Does Investor Attention Affect Trading Volume In The Brazilian Stock Market?, Working Papers Series (2018) Downloads (2018)
  2. What does the tail of the distribution of current stock prices tell us about future economic activity?
    Journal of Forecasting, 2018, 37, (4), 506-516 Downloads View citations (4)

2017

  1. Do central bank foreign exchange interventions affect market expectations?
    Applied Economics, 2017, 49, (31), 3017-3031 Downloads View citations (3)

2016

  1. OTC derivatives: Impacts of regulatory changes in the non-financial sector
    Journal of Financial Stability, 2016, 25, (C), 132-149 Downloads View citations (4)
    See also Working Paper OTC Derivatives: Impacts of Regulatory Changes in the Non-Financial Sector, Working Papers Series (2015) Downloads (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 ASSESSING DAY-TO-DAY VOLATILITY: DOESTHE TRADING TIME MATTER?, Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] (2014) Downloads (2014)
  2. The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
    Brazilian Business Review, 2014, 11, (1), 111-129 Downloads View citations (1)
  3. The adverse selection cost component of the spread of Brazilian stocks
    Emerging Markets Review, 2014, 21, (C), 21-41 Downloads View citations (1)
    See also Working Paper The Adverse Selection Cost Component of the Spread of Brazilian Stocks, Working Papers Series (2011) Downloads (2011)

2011

  1. Is it possible to outperform Ibovespa through technical analysis in the futures market?
    RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), 2011, 15, (5), 918-930 Downloads

2006

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

2005

  1. Avaliação de métodos de exigência de capital para risco de ações no Brasil
    RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), 2005, 9, (2), 121-144 Downloads
  2. Evaluation of Foreign Exchange Risk Capital Requirement Models
    Brazilian Review of Finance, 2005, 3, (2), 223-249 Downloads
 
Page updated 2024-11-14