Details about Gustavo Silva Araujo
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
- Breakeven Inflation Rate Estimation: an alternative approach considering indexation lag and seasonality
Working Papers Series, Central Bank of Brazil, Research Department View citations (3)
- Lending Relationships and Currency Hedging
Working Papers Series, Central Bank of Brazil, Research Department
- Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models
Working Papers Series, Central Bank of Brazil, Research Department 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) View citations (8) (2023)
2018
- Does Investor Attention Affect Trading Volume In The Brazilian Stock Market?
Working Papers Series, Central Bank of Brazil, Research Department 
See also Journal Article Does investor attention affect trading volume in the Brazilian stock market?, Research in International Business and Finance, Elsevier (2018) (2018)
- 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]
2017
- Does Extreme Rainfall Lead to Heavy Economic Losses in the Food Industry?
Working Papers Series, Central Bank of Brazil, Research Department
- Estimação da Inflação Implícita de Curto Prazo
Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
2016
- 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
2015
- As Atuações Cambiais do Banco Central Afetam as Expectativas de Mercado?
Working Papers Series, Central Bank of Brazil, Research Department
- Há Efeito Manada em Ações com Alta Liquidez do Mercado Brasileiro?
Working Papers Series, Central Bank of Brazil, Research Department
- OTC Derivatives: Impacts of Regulatory Changes in the Non-Financial Sector
Working Papers Series, Central Bank of Brazil, Research Department 
See also Journal Article OTC derivatives: Impacts of regulatory changes in the non-financial sector, Journal of Financial Stability, Elsevier (2016) View citations (4) (2016)
2014
- 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] 
See also Journal Article Assessing Day-to-Day Volatility: Does the Trading Time Matter?, Brazilian Review of Finance, Brazilian Society of Finance (2014) (2014)
- Indicadores Antecedentes Extraídos de Preços de Ativos em Corte Transversal
Working Papers Series, Central Bank of Brazil, Research Department
- 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]
2013
- 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
- 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
- Risco Sistêmico no Mercado Bancário Brasileiro - Uma abordagem pelo método CoVar
Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
2012
- Avaliando a Volatilidade Diária dos Ativos: a hora da negociação importa?
Working Papers Series, Central Bank of Brazil, Research Department
2011
- 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]
- The Adverse Selection Cost Component of the Spread of Brazilian Stocks
Working Papers Series, Central Bank of Brazil, Research Department 
See also Journal Article The adverse selection cost component of the spread of Brazilian stocks, Emerging Markets Review, Elsevier (2014) View citations (1) (2014)
2005
- 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
- Avaliação de Métodos de Cálculo de Exigência de Capital para Risco Cambial
Working Papers Series, Central Bank of Brazil, Research Department
- 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
2004
- Carteiras de Opções: Avaliação de Metodologias de Exigência de Capital no Mercado Brasileiro
Working Papers Series, Central Bank of Brazil, Research Department
2003
- 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
- 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
- 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
Journal Articles
2023
- Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models
Latin American Journal of Central Banking (previously Monetaria), 2023, 4, (2) View citations (8)
See also Working Paper Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models, Working Papers Series (2022) View citations (3) (2022)
2018
- Does investor attention affect trading volume in the Brazilian stock market?
Research in International Business and Finance, 2018, 44, (C), 480-487 
See also Working Paper Does Investor Attention Affect Trading Volume In The Brazilian Stock Market?, Working Papers Series (2018) (2018)
- 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 View citations (4)
2017
- Do central bank foreign exchange interventions affect market expectations?
Applied Economics, 2017, 49, (31), 3017-3031 View citations (3)
2016
- OTC derivatives: Impacts of regulatory changes in the non-financial sector
Journal of Financial Stability, 2016, 25, (C), 132-149 View citations (4)
See also Working Paper OTC Derivatives: Impacts of Regulatory Changes in the Non-Financial Sector, Working Papers Series (2015) (2015)
2015
- Is There Herd Effect on Stocks with High Liquidity of the Brazilian Market?
Journal of Financial Innovation, 2015, 1, (2), 2
2014
- Assessing Day-to-Day Volatility: Does the Trading Time Matter?
Brazilian Review of Finance, 2014, 12, (1), 41-66 
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) (2014)
- The Influence of information asymmetry on the return and volatility of value and growth stock portfolios
Brazilian Business Review, 2014, 11, (1), 111-129 View citations (1)
- The adverse selection cost component of the spread of Brazilian stocks
Emerging Markets Review, 2014, 21, (C), 21-41 View citations (1)
See also Working Paper The Adverse Selection Cost Component of the Spread of Brazilian Stocks, Working Papers Series (2011) (2011)
2011
- 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
2006
- Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies
Brazilian Review of Finance, 2006, 4, (1), 97-118
2005
- 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
- Evaluation of Foreign Exchange Risk Capital Requirement Models
Brazilian Review of Finance, 2005, 3, (2), 223-249
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