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Details about Leandro dos Santos Maciel

Homepage:https://www.fea.usp.br/usuarios/docente/leandromaciel
Phone:+5515988103677
Workplace:Faculdade de Economia, Administração e Contabilidade (School of Economics, Administration and Accounting), Universidade de São Paulo (University of Sao Paulo), (more information at EDIRC)

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


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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] Downloads
    See also Journal Article Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting, Computational Economics, Springer (2016) Downloads View citations (6) (2016)

2011

  1. 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] Downloads
  2. 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] Downloads

Journal Articles

2023

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

2022

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

2021

  1. 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 Downloads View citations (1)
  2. Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?
    International Journal of Finance & Economics, 2021, 26, (3), 4840-4855 Downloads View citations (13)
  3. Functional Fuzzy Rule-Based Modeling for Interval-Valued Data: An Empirical Application for Exchange Rates Forecasting
    Computational Economics, 2021, 57, (2), 743-771 Downloads View citations (1)

2020

  1. 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 Downloads View citations (4)

2019

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

2018

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

2016

  1. A differential evolution algorithm for yield curve estimation
    Mathematics and Computers in Simulation (MATCOM), 2016, 129, (C), 10-30 Downloads
  2. Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting
    Computational Economics, 2016, 48, (3), 379-398 Downloads 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) Downloads (2014)

2014

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

2012

  1. A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
    Brazilian Review of Finance, 2012, 10, (3), 337-367 Downloads 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

  1. 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) Downloads View citations (1) (2012)
 
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