Research

Financial econometrics: Multivariate volatility models, portfolio selection and optimization, quantitative risk management, dynamic factor models, high-frequency data, realized volatility.

Fixed income: term structure models, fixed income portfolio allocation and risk management.

Forecasting: forecast combinations, volatility forecasting, electricity price forecasting, term structure forecasting.

Machine learning and heuristic methods: tree-based methods, regularization, neural networks.

Journal of Business & Economic Statistics, Management Science, Journal of Financial Econometrics, Journal of Banking & Finance, Journal of Empirical Finance, Journal of Applied Econometrics, Quantitative Finance, Journal of the Royal Statistical Society, Operations Research, Computational Statistics & Data Analysis, Computational Economics, International Journal of Forecasting, Empirical Economics, Journal of Forecasting, Econometrics and Statistics, Finance Research Letters, Journal of Business Ethics.

Financial Economics and Financial Econometrics

19] Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha. Journal of Financial Economics, 150(3). With V. DeMiguel, J. Gil-Bazo and J. Nogales. (link)

18] Semiparametric Portfolios: Improving Portfolio Performance by Exploiting Non-Linearities in Firm Characteristics. Economic Modelling, 122, 2023. With J. Caldeira and H. Torrent. (link)

17] Markowitz Meets Technical Analysis: Building Optimal Portfolios by Exploiting Information in Trend-Following Signals. Finance Research Letters, 49, 2022. With H. Torrent. (link)

16] Comparing high dimensional conditional covariance matrices: Implications for portfolio selection. Journal of Banking and Finance, 118, 2020. With G. V. Moura and E. Ruiz. (link)

15] Covariance prediction in large portfolio allocation. Econometrics, 7(2), 2019. With C. Trucíos, M. Zevallos, L. Hotta. (link)

14] Disentangling the role of variance and covariance information in portfolio selection problems. Quantitative Finance, 19(1), 2019. (link) 

13] Yield curve forecast combinations based on bond portfolio performance. Journal of Forecasting, 31(1), 2018. With G. V. Moura, J. F. Caldeira. (link)

12] Combining multivariate volatility forecasts: an economic-based approach. Journal of Financial Econometrics, 15(2), 2017. With G. V. Moura, J. F. Caldeira, and F. J. Nogales. (link)

11] Can we predict the financial markets based on Google's search queries? Journal of Forecasting, 36(4), 2017. With M. Perlin, J. F. Caldeira, and M. Pontuschka. (link)

10] Predicting the yield curve using forecast combinations. Computational Statistics & Data Analysis, 100, 2016. With G. V. Moura and J. F. Caldeira. (link)

9] Bond portfolio optimization using dynamic factor models. Journal of Empirical Finance, 37, 2016. With G. V. Moura and J. F. Caldeira. (link)

8] Hedging against embarrassment. Journal of Economic Behavior and Organization, 116, 2015. With M. Goulart, N. Costa Jr., and E. Andrade. (link)

7] Psychophysiological correlates of the disposition effect. PLOS One, 8(1), 2013. With M. Goulart, N. Costa Jr., S. da Silva. (link)

6] Measuring risk in fixed income portfolios using yield curve models. Computational Economics. 46(1), 2015. With G. V. Moura and J. F. Caldeira. (link)

5] Dynamic factor multivariate GARCH model. Computational Statistics & Data Analysis, 76, 2014. With G. V. Moura. (link)

4] Comparing univariate and multivariate models to forecast portfolio value-at-risk. Journal of Financial Econometrics, 11(2), 2013. With E. Ruiz and F.J. Nogales. (link)

3] Optimal portfolios with minimum capital requirements. Journal of Banking and Finance, 36(7), 2012. With E. Ruiz, F.J. Nogales and D. Van Dijk. (link)

2 The market reaction to changes in the Brazilian official interest rate. Applied Economics Letters, 19(4), 2012. With A. Buchholz, N. Costa Jr., R. Meurer and C. Cupertino. (link)

1]  The performance of socially responsible mutual funds: The role of fees and management companies . Journal of Business Ethics, 94(2), 2010. With J. Gil-Bazo and P. Ruiz-Verdú. (link)
(Awarded Honorable Mention for the 2008 Moskowitz Prize for Socially Responsible Investing.)

Deep learning & others

7] Deep reinforcement learning applied to a sparse-reward trading environment with intraday data. Expert Systems with Applications, 238, 2024. With L. Coelho, V. Mariani and L. Takara. (link)

6] Novel hybrid model based on echo state neural network applied to the prediction of stock price return volatility. Expert Systems with Applications, 184(1), 2021. With L. Coelho, V. Mariani, and G. Ribeiro. (link)

5] Lotka's law for the Brazilian scientific output published in journals. Journal of Information Science, 45(5), 2019. With S. da Sivla, T. Imasato, D. Borestein, M. Perlin, and R. Matsushita. (link)

4] The Brazilian scientific output published in journals: A study based on a large CV database. Journal of Informetrics, 11(1). 2016. With M. Perlin, S. da Silva, T. Imasato, and D. Borestein. (link)

3] Forecasting period charter rates of VLCC tankers through neural networks: A comparison of alternative approaches. Maritime Economics & Logistics, 16(1), 2014. With L. N. Junkes and F. Pires Jr. (link)

2] A RBF neural network with GARCH errors: Application to electricity price forecasting. Electric Power Systems Research, 81(1), 2011. With L. S. Coelho. (link)

1] Computational intelligence approaches and linear models in case studies of forecasting exchange rates. Expert Systems with Applications, 33(4), 2007. With L.S. Coelho and N. Costa Jr. (link)

Papers in Brazilian peer-reviewed journals

15] A note on the estimation of minimum tracking error portfolios. Brazilian Review of Econometrics, 40(1), 2020. With P. Naibert, and J. Caldeira. (link)

14] Efeito disposição: propensão à venda de investidores institucionais e individuais. Revista Brasileira de Economia, 73(1), 2019. With W. Prates and N. Costa Jr. (link) 

13] Dissecando anomalias com o modelo de cinco fatores para o mercado acionário brasileiro. Revista Brasileira de Finanças, 16(1), 2018. With A. Schwinden. (link)

12] Portfolio management using realized covariances: evidence from Brasil. EconomiA, 18, 2017. With J. Caldeira, G. Moura, M. Perlin. (link)

11] On the choice of covariance specifications for portfolio selection. Brazilian Review of Econometrics, 37(1), 2017. With A. Ferreira. (link)

10] Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence. EconomiA, 17(2), 2016. With J. Caldeira, G. Moura. (link)

9] Validação da perda dado o descumprimento na abordagem IRB avançada. Revista Brasileira de Finanças, 14(2), 2016. With G. Sanches. (link)

8] Previsões macroeconômicas baseadas em modelos TVP-VAR: evidências para o Brasil. Revista Brasileira de Economia, 69(4), 2015. With J. Caldeira, G. Moura. (link)

7] Os pesquisadores, as publicações e os periódicos da área de Finanças no Brasil: Uma análise com base em currículos da plataforma Lattes. Revista Brasileira de Finanças, 13(2), 2015. With M. Perlin. (link)

6] Excesso de confiança, turnover e retorno: evidência para o mercado brasileiro. Revista Brasileira de Finanças, 12(3), 2015. With W. Prates and N. Costa Jr. (link)

5] Beating the market with small portfolios: evidence from Brazil. EconomiA, 16(1), 2015. (link). 

4] O que motiva a realização de intervenções cambiais? Análise das atuações do Banco Central do Brasil no mercado brasileiro de dólar. Revista Brasileira de Finanças, 11(2), 2013. With F. Teixeira and R. Meurer.

3] Otimização de carteiras utilizando o modelo Fama-French-Carhart. Revista Brasileira de Economia, 67(1), 2013.  With J. F. Caldeira and G. V. Moura.

2] Técnicas quantitativas de otimização de carteiras aplicadas ao mercado brasileiro de ações.  Revista Brasileira de Finanças, 10(3), 2012. With C. Tessari.

1] The out-of-sample performance of robust portfolio optimization, Revista Brasileira de Finanças, 8(2), 2010.