Gustavo Fruet Dias

CV

Research Interests:

Econometrics (Financial Econometrics, Time Series Analysis, Forecasting, Big Data),

Financial Economics (Empirical market microstructure, Empirical Finance)

Publications

1- "An Econometric Analysis of Volatility Discovery" (with Cristina Scherrer and Fotis Papailias) (previously circulated as "Volatility Discovery") , forthcoming Journal of Business & Economic Statistics

• Supplemental Material "An Econometric Analysis of Volatility Discovery" 

2-  "Price discovery in a continuous-time setting"  (with Marcelo Fernandes and Cristina Scherrer) , Journal of Financial Econometrics, vol. 19, issue 5, pp 985–1008, (2021)

3- "Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets" (with George Kapetanios) , Journal of Econometrics, vol. 202, issue 1, pp.75-91, (2018).

4-  "The time-varying GARCH-in-mean model", Economics Letters, 157, pp. 129 - 132, (2017).

5-  "Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach" (with Fotis Papailias), International Journal of Forecasting; 31, pp. 1056-1066, (2015)

6-   "Book review: Nonlinear Time Series: Extreme Events and Integer Value Problems by Kamil Feridun Turkman, Manuel González Scotto, and Patrícia De Zea Bermudez,”} , Journal of the American Statistical Association, vol. 110, pp. 1823-1824, (2015).

Working Papers

"The Nonlinear Iterative Least Squares (NL-ILS) Estimator: An Application to Volatility Models"

"Price Discovery and Market Microstructure Noise" (with Marcelo Fernandes and Cristina Scherrer) 

"Integrated Variance Estimation for Assets Traded in Multiple Venues (with Karsten Schweikert)