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Details about Roberto Baltieri Mauad

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

Access statistics for papers by Roberto Baltieri Mauad.

Last updated 2017-09-18. Update your information in the RePEc Author Service.

Short-id: pma2425


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Working Papers

2017

  1. Volatility Risk Premia and Future Commodity Returns
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
  2. Volatility risk premia and future commodities returns
    BIS Working Papers, Bank for International Settlements Downloads View citations (3)

2016

  1. Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)

Journal Articles

2015

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

2014

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

2012

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