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Details about Jose Renato Haas Ornelas

E-mail:
Homepage:http://www.joseornelas.com
Workplace:Banco Central do Brasil (Central Bank of Brazil), (more information at EDIRC)

Access statistics for papers by Jose Renato Haas Ornelas.

Last updated 2018-08-13. Update your information in the RePEc Author Service.

Short-id: por69


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Working Papers

2018

  1. Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2017

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

2015

  1. The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2014

  1. Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Testing the Liquidity Preference Hypothesis using Survey Forecasts
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Emerging Markets Review (2015)

2012

  1. Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)
    Also in EBAPE Working Papers, FGV EBAPE - Escola Brasileira de Administração Pública e de Empresas (Brazil) (2012) Downloads View citations (8)

2008

  1. Behavior and Effects of Equity Foreign Investors on Emerging Markets
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)

2006

  1. Herding Behavior by Equity Foreign Investors on Emerging Markets
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)

2004

  1. Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)

2003

  1. Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (5)
  2. Goodness-of-fit Tests focus on VaR Estimation
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (2)

Journal Articles

2016

  1. The Forecast Ability of Option-implied Densities from Emerging Markets Currencies
    Brazilian Review of Econometrics, 2016, 36, (1) Downloads View citations (1)

2015

  1. Testing the liquidity preference hypothesis using survey forecasts
    Emerging Markets Review, 2015, 23, (C), 173-185 Downloads
    See also Working Paper (2014)

2012

  1. Combining equilibrium, resampling, and analyst’s views in portfolio optimization
    Journal of Banking & Finance, 2012, 36, (5), 1354-1361 Downloads View citations (3)
    See also Chapter (2011)
  2. Yes, the choice of performance measure does matter for ranking of us mutual funds
    International Journal of Finance & Economics, 2012, 17, (1), 61-72 View citations (11)

2011

  1. Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
    Brazilian Review of Finance, 2011, 9, (1), 9-26 Downloads

2008

  1. A Goodness-of-Fit Test with Focus on Conditional Value at Risk
    Brazilian Review of Finance, 2008, 6, (2), 139-155 Downloads

2006

  1. Goodness-of-fit Tests Focus on Value-at-Risk Estimation
    Brazilian Review of Econometrics, 2006, 26, (2) Downloads

Chapters

2011

  1. Combining equilibrium, resampling, and analysts' views in portfolio optimization
    A chapter in Portfolio and risk management for central banks and sovereign wealth funds, 2011, vol. 58, pp 75-84 Downloads
    See also Journal Article in Journal of Banking & Finance (2012)
 
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