Details about Lucas Lúcio Godeiro

Access statistics for papers by Lucas Lúcio Godeiro.

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Short-id: pgo549

Working Papers

2016

1. SELEÇÃO DE CARTEIRAS COM RETORNOS SERIALMENTE CORRELACIONADOS: UMA APLICAÇÃO DE MODELOS AUTOREGRESSIVOS
   Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

2012

2. Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
   (Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carlo Simulation)
   MPRA Paper, University Library of Munich, Germany

2011

3. Impact of calendar effects in the volatility of vale shares
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Impact of Calendar Effects in the Volatility of Vale Shares, Journal of Finance and Investment Analysis, SCIENPRESS Ltd (2013) (2013)
4. Previsão para as Exportações Brasileiras de 2011 utilizando modelos estruturais
   (Forecasts for the Brazilian Exports in 2011 using structural models)
   MPRA Paper, University Library of Munich, Germany

Journal Articles

2017

1. International CAPM, Dynamic Betas and Optimization of Portfolios: Are countries-risk more profitable?
   Journal of Statistical and Econometric Methods, 2017, 6, (4), 3

2014

2. Estimating the VaR of Brazilian stock portfolios via GARCH family models and via Monte Carlo Simulation
   Journal of Applied Finance & Banking, 2014, 4, (4), 10

2013

3. Impact of Calendar Effects in the Volatility of Vale Shares
   Journal of Finance and Investment Analysis, 2013, 2, (3), 1
   See also Working Paper Impact of calendar effects in the volatility of vale shares, MPRA Paper (2011) (2011)
4. Impact of Food Acquisition Program in the Sertao-Apodi and Acu-Mossoro Territory from Brazil
   Advances in Management and Applied Economics, 2013, 3, (6), 16
5. Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012
   International Journal of Economics and Financial Issues, 2013, 3, (2), 253-275
   Also in Journal of Finance and Investment Analysis, 2013, 2, (2), 2 (2013)