Details about Daniel Oliveira Cajueiro
Homepage: | https://sites.google.com/site/danielocajueiro/home
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Workplace: | Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação (FACE) (Faculty of Economics, Administration, Accounting and Information Science), Universidade de Brasília (University of Brasilia), (more information at EDIRC) Departamento de Economia (Department of Economics), Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação (FACE) (Faculty of Economics, Administration, Accounting and Information Science), Universidade de Brasília (University of Brasilia), (more information at EDIRC)
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Access statistics for papers by Daniel Oliveira Cajueiro.
Last updated 2022-12-18. Update your information in the RePEc Author Service.
Short-id: pca1024
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Working Papers
2024
- Evaluating the Role of Information Disclosure on Bidding Behavior in Wholesale Electricity Markets
Working Papers, University of Alberta, Department of Economics
2021
- Won't Get Fooled Again: A Supervised Machine Learning Approach for Screening Gasoline Cartels
CESifo Working Paper Series, CESifo View citations (3)
See also Journal Article Won’t Get Fooled Again: A supervised machine learning approach for screening gasoline cartels, Energy Economics, Elsevier (2022) View citations (3) (2022)
2018
- CONCESSÃO DE CRÉDITO DURANTE E APÓS A CRISE FINANCEIRA DE 2008 NO BRASIL. HOUVE HETEROGENEIDADE NAS OPERAÇÕES DE CRÉDITO?
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]
- Economic Growth, Volatility and Their Interaction: What’s the role of finance?
Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
See also Journal Article Economic growth, volatility and their interaction: What’s the role of finance?, Economic Systems, Elsevier (2017) View citations (4) (2017)
- Inflation Targeting and Financial Stability: does the quality of institutions matter?
Working Papers Series, Central Bank of Brazil, Research Department View citations (28)
See also Journal Article Inflation targeting and financial stability: Does the quality of institutions matter?, Economic Modelling, Elsevier (2018) View citations (27) (2018)
2016
- Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
MPRA Paper, University Library of Munich, Germany View citations (2)
- THE 2D:4D RATIO AND MYOPIC LOSS AVERSION (MLA): AN EXPERIMENTAL INVESTIGATION
Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
See also Journal Article The 2D:4D ratio and Myopic Loss Aversion (MLA): An experimental investigation, Journal of Behavioral and Experimental Finance, Elsevier (2015) View citations (2) (2015)
2014
- Inflation Targeting and Banking System Soundness: A Comprehensive Analysis
Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
- The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks
Working Papers Series, Central Bank of Brazil, Research Department
See also Journal Article Adequacy of deterministic and parametric frontiers to analyze the efficiency of Indian commercial banks, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (1) (2018)
- The Efficiency of Chinese Local Banks: A comparison of DEA and SFA
Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
2013
- Do Capital Buffers Matter? A Study on the Profitability and Funding Costs Determinants of the Brazilian Banking System
Working Papers Series, Central Bank of Brazil, Research Department
2012
- Determinantes da Estrutura de Capital das Empresas Brasileiras: uma abordagem em regressão quantílica
Working Papers Series, Central Bank of Brazil, Research Department
2011
- BANK CAPITAL BUFFERS, LENDING GROWTH ANDECONOMIC CYCLE: EMPIRICAL EVIDENCE FOR BRAZIL
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] View citations (32)
- Bank Efficiency and Default in Brazil: Causality Tests
Working Papers Series, Central Bank of Brazil, Research Department View citations (15)
- Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks
Working Papers Series, Central Bank of Brazil, Research Department View citations (8)
See also Journal Article Directed clustering coefficient as a measure of systemic risk in complex banking networks, Physica A: Statistical Mechanics and its Applications, Elsevier (2014) View citations (46) (2014)
- Forecasting the Yield Curve for the Euro Region
Working Papers Series, Central Bank of Brazil, Research Department
See also Journal Article Forecasting the yield curve for the Euro region, Economics Letters, Elsevier (2012) View citations (1) (2012)
- Modeling Default Probabilities: the case of Brazil
Working Papers Series, Central Bank of Brazil, Research Department View citations (8)
See also Journal Article Modeling default probabilities: The case of Brazil, Journal of International Financial Markets, Institutions and Money, Elsevier (2011) View citations (7) (2011)
- O COMPORTAMENTOCÍCLICO DO CAPITAL DOS BANCOS BRASILEIROS
Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
Also in Working Papers Series, Central Bank of Brazil, Research Department (2010)
See also Journal Article O Comportamento Cíclico do Capital dos Bancos Brasileiros, Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2010) (2010)
- Profit, Cost and Scale Efficiency for Latin American Banks: Concentration-Performance Relationship
Working Papers Series, Central Bank of Brazil, Research Department View citations (7)
- The Relationship Between Banking Market Competition and Risk-taking: Do Size and Capitalization Matter?
Working Papers Series, Central Bank of Brazil, Research Department View citations (13)
See also Journal Article The relationship between banking market competition and risk-taking: Do size and capitalization matter?, Journal of Banking & Finance, Elsevier (2012) View citations (170) (2012)
2010
- Eficiência Bancária e Inadimplência: Testes de Causalidade
Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
- Financial Fragility in a General Equilibrium Model: the Brazilian case
Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
See also Journal Article Financial fragility in a general equilibrium model: the Brazilian case, Annals of Finance, Springer (2013) View citations (4) (2013)
- Financial Stability and Monetary Policy - The Case of Brazil
Working Papers Series, Central Bank of Brazil, Research Department View citations (16)
- Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy
Working Papers Series, Central Bank of Brazil, Research Department View citations (17)
See also Journal Article Fluctuation dynamics in US interest rates and the role of monetary policy, Finance Research Letters, Elsevier (2010) View citations (17) (2010)
- Teoria de Redes Complexas e o Poder de Difusão dos Municípios
Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA
- The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk
Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
See also Journal Article The effects of loan portfolio concentration on Brazilian banks' return and risk, Journal of Banking & Finance, Elsevier (2011) View citations (61) (2011)
2009
- Forecasting the Yield Curve for Brazil
Working Papers Series, Central Bank of Brazil, Research Department View citations (2)
2007
- Long-Range Dependence in Exchange Rates: the case of the European Monetary System
Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
See also Journal Article LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2008) View citations (23) (2008)
- The role of banks in the Brazilian Interbank Market: Does bank type matter?
Working Papers Series, Central Bank of Brazil, Research Department View citations (13)
See also Journal Article The role of banks in the Brazilian interbank market: Does bank type matter?, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (62) (2008)
2006
- Econophysics of interest rates and the role of monetary policy
Papers, arXiv.org View citations (3)
- Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
Working Papers Series, Central Bank of Brazil, Research Department View citations (14)
See also Journal Article Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2006) View citations (2) (2006)
- Long-range dependence in Interest Rates and Monetary Policy
Papers, arXiv.org
2005
- Modelo de Localização Industrial para o Planejamento de um Pólo de Alta Tecnologia
Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA
2003
- Volatility Estimation and Option Pricing with Fractional Brownian Motion
Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (2)
Journal Articles
2022
- Won’t Get Fooled Again: A supervised machine learning approach for screening gasoline cartels
Energy Economics, 2022, 105, (C) View citations (3)
See also Working Paper Won't Get Fooled Again: A Supervised Machine Learning Approach for Screening Gasoline Cartels, CESifo Working Paper Series (2021) View citations (3) (2021)
2021
- What is the potential for a second peak in the evolution of SARS-CoV-2 in emerging and developing economies? Insights from a SIRASD model considering the informal economy
International Journal of Modern Physics C (IJMPC), 2021, 32, (08), 1-25
2018
- Adequacy of deterministic and parametric frontiers to analyze the efficiency of Indian commercial banks
Physica A: Statistical Mechanics and its Applications, 2018, 506, (C), 1016-1025 View citations (1)
See also Working Paper The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks, Working Papers Series (2014) (2014)
- Inflation targeting and financial stability: Does the quality of institutions matter?
Economic Modelling, 2018, 71, (C), 1-15 View citations (27)
See also Working Paper Inflation Targeting and Financial Stability: does the quality of institutions matter?, Working Papers Series (2018) View citations (28) (2018)
2017
- A comparison of DEA and SFA using micro- and macro-level perspectives: Efficiency of Chinese local banks
Physica A: Statistical Mechanics and its Applications, 2017, 469, (C), 216-223 View citations (27)
- Economic growth, volatility and their interaction: What’s the role of finance?
Economic Systems, 2017, 41, (3), 433-444 View citations (4)
See also Working Paper Economic Growth, Volatility and Their Interaction: What’s the role of finance?, Working Papers Series (2018) View citations (1) (2018)
- The effects of capital buffers on profitability: An empirical study
Economics Bulletin, 2017, 37, (3), 1468-1473 View citations (3)
2016
- Financial stability and bank supervision
Finance Research Letters, 2016, 18, (C), 322-327 View citations (12)
2015
- Inflation targeting: Is IT to blame for banking system instability?
Journal of Banking & Finance, 2015, 59, (C), 76-97 View citations (31)
- The 2D:4D ratio and Myopic Loss Aversion (MLA): An experimental investigation
Journal of Behavioral and Experimental Finance, 2015, 5, (C), 81-84 View citations (2)
See also Working Paper THE 2D:4D RATIO AND MYOPIC LOSS AVERSION (MLA): AN EXPERIMENTAL INVESTIGATION, Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] (2016) (2016)
2014
- Directed clustering coefficient as a measure of systemic risk in complex banking networks
Physica A: Statistical Mechanics and its Applications, 2014, 394, (C), 211-216 View citations (46)
See also Working Paper Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks, Working Papers Series (2011) View citations (8) (2011)
2013
- Combining term structure of interest rate forecasts: The Brazilian case
Economia, 2013, 14, (2), 102_121 View citations (2)
- Financial fragility in a general equilibrium model: the Brazilian case
Annals of Finance, 2013, 9, (3), 519-541 View citations (4)
See also Working Paper Financial Fragility in a General Equilibrium Model: the Brazilian case, Working Papers Series (2010) View citations (1) (2010)
- Systemically important banks and financial stability: The case of Latin America
Journal of Banking & Finance, 2013, 37, (10), 3855-3866 View citations (39)
2012
- A top–bottom price approach to understanding financial fluctuations
Physica A: Statistical Mechanics and its Applications, 2012, 391, (4), 1489-1496 View citations (2)
- Detecting switching points using asymmetric detrended fluctuation analysis
Physica A: Statistical Mechanics and its Applications, 2012, 391, (1), 170-179 View citations (12)
- Forecasting the yield curve for the Euro region
Economics Letters, 2012, 117, (2), 513-516 View citations (1)
See also Working Paper Forecasting the Yield Curve for the Euro Region, Working Papers Series (2011) (2011)
- The relationship between banking market competition and risk-taking: Do size and capitalization matter?
Journal of Banking & Finance, 2012, 36, (12), 3366-3381 View citations (170)
See also Working Paper The Relationship Between Banking Market Competition and Risk-taking: Do Size and Capitalization Matter?, Working Papers Series (2011) View citations (13) (2011)
2011
- Enforcing social behavior in an Ising model with complex neighborhoods
Physica A: Statistical Mechanics and its Applications, 2011, 390, (9), 1695-1703 View citations (3)
- Inflation, unemployment, and the time consistency of the US monetary policy
Structural Change and Economic Dynamics, 2011, 22, (2), 173-179 View citations (3)
- Modeling default probabilities: The case of Brazil
Journal of International Financial Markets, Institutions and Money, 2011, 21, (4), 513-534 View citations (7)
See also Working Paper Modeling Default Probabilities: the case of Brazil, Working Papers Series (2011) View citations (8) (2011)
- The effects of loan portfolio concentration on Brazilian banks' return and risk
Journal of Banking & Finance, 2011, 35, (11), 3065-3076 View citations (61)
See also Working Paper The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk, Working Papers Series (2010) View citations (4) (2010)
2010
- Constrained information minority game: How was the night at El Farol?
Physica A: Statistical Mechanics and its Applications, 2010, 389, (6), 1230-1238
- Controlling self-organized criticality in complex networks
The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 77, (2), 291-296 View citations (1)
- Fluctuation dynamics in US interest rates and the role of monetary policy
Finance Research Letters, 2010, 7, (3), 163-169 View citations (17)
See also Working Paper Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy, Working Papers Series (2010) View citations (17) (2010)
- Network evolution based on minority game with herding behavior
The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 76, (1), 147-156 View citations (3)
- O Comportamento Cíclico do Capital dos Bancos Brasileiros
Economia, 2010, 11, (3), 671_690
See also Working Paper O COMPORTAMENTOCÍCLICO DO CAPITAL DOS BANCOS BRASILEIROS, Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] (2011) (2011)
- Optimal navigation for characterizing the role of the nodes in complex networks
Physica A: Statistical Mechanics and its Applications, 2010, 389, (9), 1945-1954 View citations (1)
- Topological properties of commodities networks
The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 74, (2), 243-249 View citations (25)
- Topological properties of stock market networks: The case of Brazil
Physica A: Statistical Mechanics and its Applications, 2010, 389, (16), 3240-3249 View citations (67)
2009
- Can we predict crashes? The case of the Brazilian stock market
Physica A: Statistical Mechanics and its Applications, 2009, 388, (8), 1603-1609 View citations (11)
- Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange
International Review of Financial Analysis, 2009, 18, (1-2), 50-57 View citations (93)
- Multifractality and herding behavior in the Japanese stock market
Chaos, Solitons & Fractals, 2009, 40, (1), 497-504 View citations (31)
- Quantifying price fluctuations in the Brazilian stock market
Physica A: Statistical Mechanics and its Applications, 2009, 388, (1), 59-62 View citations (6)
- TOPOLOGICAL PROPERTIES OF BANK NETWORKS: THE CASE OF BRAZIL
International Journal of Modern Physics C (IJMPC), 2009, 20, (08), 1121-1143 View citations (6)
- Testing for long-range dependence in the Brazilian term structure of interest rates
Chaos, Solitons & Fractals, 2009, 40, (4), 1559-1573 View citations (30)
- The expectation hypothesis of interest rates and network theory: The case of Brazil
Physica A: Statistical Mechanics and its Applications, 2009, 388, (7), 1137-1149 View citations (23)
2008
- LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM
International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (02), 199-223 View citations (23)
See also Working Paper Long-Range Dependence in Exchange Rates: the case of the European Monetary System, Working Papers Series (2007) View citations (4) (2007)
- Long memory testing for Fed Funds Futures’ contracts
Chaos, Solitons & Fractals, 2008, 37, (1), 180-186 View citations (4)
- Measuring Bank Efficiency in Brazil – The Inclusion of Macro-prudential Indicators
Brazilian Review of Finance, 2008, 6, (3), 413-438
- Minority games, diversity, cooperativity and the concept of intelligence
Physica A: Statistical Mechanics and its Applications, 2008, 387, (2), 557-566 View citations (2)
- Testing for long-range dependence in world stock markets
Chaos, Solitons & Fractals, 2008, 37, (3), 918-927 View citations (35)
- Testing for time-varying long-range dependence in real state equity returns
Chaos, Solitons & Fractals, 2008, 38, (1), 293-307 View citations (30)
- The role of banks in the Brazilian interbank market: Does bank type matter?
Physica A: Statistical Mechanics and its Applications, 2008, 387, (27), 6825-6836 View citations (62)
See also Working Paper The role of banks in the Brazilian Interbank Market: Does bank type matter?, Working Papers Series (2007) View citations (13) (2007)
2007
- Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
Energy Economics, 2007, 29, (1), 28-36 View citations (153)
- Characterizing bid–ask prices in the Brazilian equity market
Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 627-633 View citations (2)
- Is the expression H=1/(3-q) valid for real financial data?
Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 593-602 View citations (3)
- Long-range dependence and market structure
Chaos, Solitons & Fractals, 2007, 31, (4), 995-1000 View citations (15)
- Long-range dependence and multifractality in the term structure of LIBOR interest rates
Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 603-614 View citations (68)
- Mapping dynamical systems onto complex networks
The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 58, (4), 469-474 View citations (1)
- Time-varying long-range dependence in US interest rates
Chaos, Solitons & Fractals, 2007, 34, (2), 360-367 View citations (19)
2006
- A note on the relevance of the q-exponential function in the context of intertemporal choices
Physica A: Statistical Mechanics and its Applications, 2006, 364, (C), 385-388 View citations (31)
- Assessing inefficiency in euro bilateral exchange rates
Physica A: Statistical Mechanics and its Applications, 2006, 367, (C), 319-327 View citations (14)
- Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
Revista Brasileira de Economia - RBE, 2006, 60, (2) View citations (2)
See also Working Paper Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil, Working Papers Series (2006) View citations (14) (2006)
- Testing for predictability in equity returns for European transition markets
Economic Systems, 2006, 30, (1), 56-78 View citations (46)
- Testing for rational bubbles in banking indices
Physica A: Statistical Mechanics and its Applications, 2006, 366, (C), 365-376 View citations (6)
- The long-range dependence phenomena in asset returns: the Chinese case
Applied Economics Letters, 2006, 13, (2), 131-133 View citations (15)
2005
- Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
Physica A: Statistical Mechanics and its Applications, 2005, 351, (2), 512-522 View citations (6)
- Possible causes of long-range dependence in the Brazilian stock market
Physica A: Statistical Mechanics and its Applications, 2005, 345, (3), 635-645 View citations (26)
- Testing for long range dependence in banking equity indices
Chaos, Solitons & Fractals, 2005, 26, (5), 1423-1428 View citations (11)
- Testing for time-varying long-range dependence in volatility for emerging markets
Physica A: Statistical Mechanics and its Applications, 2005, 346, (3), 577-588 View citations (71)
- The long-range dependence behavior of the term structure of interest rates in Japan
Physica A: Statistical Mechanics and its Applications, 2005, 350, (2), 418-426 View citations (35)
- The rescaled variance statistic and the determination of the Hurst exponent
Mathematics and Computers in Simulation (MATCOM), 2005, 70, (3), 172-179 View citations (13)
2004
- Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
Physica A: Statistical Mechanics and its Applications, 2004, 342, (3), 656-664 View citations (90)
- Optimal Portfolio and Consumption in a Switching Diffusion Market
Brazilian Review of Econometrics, 2004, 24, (2) View citations (2)
- The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient
Physica A: Statistical Mechanics and its Applications, 2004, 336, (3), 521-537 View citations (199)
2001
- Fractal characterization of the distribution of reactive sites over a rough catalyst surface
Physica A: Statistical Mechanics and its Applications, 2001, 295, (3), 323-332 View citations (1)
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