Details about Leandro dos Santos Maciel

Access statistics for papers by Leandro dos Santos Maciel.

Last updated 2024-12-26. Update your information in the RePEc Author Service.

Short-id: pma3473

Working Papers

2014

1. AN EVOLVING FUZZY-GARCH APPROACH FORFINANCIAL VOLATILITY MODELING AND FORECASTING
   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 Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting, Computational Economics, Springer (2016) View citations (6) (2016)

2011

2. Apreçamentode opções de dólar no Brasil: umaavaliação dos modelos de redes neurais
   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]
3. PRECIFICAÇÃO DE OPÇÕES DE TAXA DE JUROSNO BRASIL: UMA ANÁLISE DOS MODELOS DE BLACK, VASICEK, CIR E REDESNEURAIS RECORRENTES
   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]

Journal Articles

2023

1. How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
   Quantitative Finance, 2023, 23, (11), 1637-1658

2022

2. Bubble detection in Bitcoin and Ethereum and its relationship with volatility regimes
   Journal of Economic Studies, 2022, 50, (3), 429-447 View citations (1)

2021

3. A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?
   The Quarterly Review of Economics and Finance, 2021, 81, (C), 38-56 View citations (1)
4. Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?
   International Journal of Finance & Economics, 2021, 26, (3), 4840-4855 View citations (13)
5. Functional Fuzzy Rule-Based Modeling for Interval-Valued Data: An Empirical Application for Exchange Rates Forecasting
   Computational Economics, 2021, 57, (2), 743-771 View citations (1)

2020

6. Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model
   Empirical Economics, 2020, 58, (4), 1513-1540 View citations (4)

2019

7. Financial interval time series modelling and forecasting using threshold autoregressive models
   International Journal of Business Innovation and Research, 2019, 19, (3), 285-303

2018

8. Evolving fuzzy modelling for yield curve forecasting
   International Journal of Economics and Business Research, 2018, 15, (3), 290-311 View citations (4)

2016

9. A differential evolution algorithm for yield curve estimation
   Mathematics and Computers in Simulation (MATCOM), 2016, 129, (C), 10-30
10. Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting
    Computational Economics, 2016, 48, (3), 379-398 View citations (6)
    See also Working Paper AN EVOLVING FUZZY-GARCH APPROACH FORFINANCIAL VOLATILITY MODELING AND FORECASTING, Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] (2014) (2014)

2014

11. Derivativos sobre Commodities Influenciam a Volatilidade dos Preços à Vista? Uma análise nos mercados de boi gordo e café arábica no Brasil
    Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), 2014, 52, (3), 20
    Also in Revista de Economia e Sociologia Rural (RESR), 2014, 52, (3) (2014)

2012

12. A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
    Brazilian Review of Finance, 2012, 10, (3), 337-367 View citations (1)
    See also Chapter A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting, Palgrave Macmillan Books, 2013, 253-283 (2013) View citations (2) (2013)

2011

13. Pricing Brazilian exchange rate options using an adaptive network-based fuzzy inference system
    Fuzzy Economic Review, 2011, XVI, (2), 59-73

Chapters

2013

1. A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
   Palgrave Macmillan View citations (2)
   See also Journal Article A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting, Brazilian Society of Finance (2012) View citations (1) (2012)