Details about Roberto Baltieri Mauad

Access statistics for papers by Roberto Baltieri Mauad.

Last updated 2020-05-25. Update your information in the RePEc Author Service.

Short-id: pma2425

Working Papers

2019

1. Implied Volatility Term Structure and Exchange Rate Predictability
   Working Papers Series, Central Bank of Brazil, Research Department View citations (7)
   See also Journal Article Implied volatility term structure and exchange rate predictability, International Journal of Forecasting, Elsevier (2019) View citations (6) (2019)

2017

2. Volatility Risk Premia and Future Commodity Returns
   Working Papers Series, Central Bank of Brazil, Research Department View citations (9)
   See also Journal Article Volatility risk premia and future commodity returns, Journal of International Money and Finance, Elsevier (2019) View citations (8) (2019)
3. Volatility risk premia and future commodities returns
   BIS Working Papers, Bank for International Settlements View citations (9)

2016

4. 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

2020

1. The impact of co-jumps in the oil sector
   Research in International Business and Finance, 2020, 52, (C) View citations (5)

2019

2. Implied volatility term structure and exchange rate predictability
   International Journal of Forecasting, 2019, 35, (4), 1800-1813 View citations (6)
   See also Working Paper Implied Volatility Term Structure and Exchange Rate Predictability, Working Papers Series (2019) View citations (7) (2019)
3. Volatility risk premia and future commodity returns
   Journal of International Money and Finance, 2019, 96, (C), 341-360 View citations (8)
   See also Working Paper Volatility Risk Premia and Future Commodity Returns, Working Papers Series (2017) View citations (9) (2017)

2015

4. A common jump factor stochastic volatility model
   Finance Research Letters, 2015, 12, (C), 2-10 View citations (7)

2014

5. The stochastic volatility model with random jumps and its application to BRL/USD exchange rate
   Economics Bulletin, 2014, 34, (2), 1002-1011 View citations (2)

2012

6. Non-Parametric Pricing of Interest Rates Options
   Brazilian Review of Econometrics, 2012, 32, (2)