Tail Risk Exposures of Hedge Funds: Evidence from Unique Brazilian Data
Brazilian Review of Econometrics, Vol. 41, 1, 151-175, 2021 (with M. Fernandes and J.P. Valente)
American Option Pricing with Machine Learning: An extension of the Longstaff-Schwartz Method
Brazilian Review of Finance, Vol. 19, 3, 85-109, 2021 (with Jingying Lin)
Robust Optimization of Time Series Momentum Portfolios
Brazilian Review of Finance, Vol. 19, 1, 52-69, 2021 (with Jeremy Fague)
A Bayesian Nonparametric Approach to Option Pricing
Brazilian Review of Finance, Vol. 18, 4, 115-317, 2020 (with Zhang Qin)
Are Higher-Order Factors Useful in Pricing the Cross-Section of Hedge Fund Returns?
Brazilian Review of Finance, Vol. 17, 2, 1-37, 2019 (with Elaine Fang)
Leading Article. First prize for the 2020 Best paper award, Brazilian Review of Finance
Measuring Long Run Risks for Brazil
Brazilian Review of Econometrics, Vol. 39, 1, 145-183, 2019, (with Diego Brandao)
Long-term Yields Implied by Stochastic Discount Factor Decompositions
Brazilian Review of Econometrics, Vol. 39, 1, 113-144, 2019, (with Fernando Cordeiro)
Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries
Brazilian Review of Econometrics, Vol. 38, 2, 321-355, 2018, (with Pedro Engel and Joao Valente)
An SDF Approach to Hedge Funds Tail Risk: Evidence from Brazilian Funds
Brazilian Review of Econometrics, Vol. 37, 1, 61-88, 2017, (with Laura Leal)
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil
Brazilian Review of Econometrics , Vol. 36, 2, 255-286, 2016, (with B. Ricca and C. Tessari)
Brazilian Review of Econometrics , Vol. 36, 1, 43-62, 2016, (with A. Faria and R. Ornelas)
Pricing Options Embedded in Debentures with Credit Risk
Brazilian Review of Econometrics , Vol. 36, 1, 21-42, 2016, (with L. Pereira)
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model
Brazilian Review of Econometrics , Vol. 34, 2, 203-246, 2014, (with K. Ardison and D. Kubudi)
Imunization of Fixed-income Portfolios using an Exponential Parametric Model
Brazilian Review of Econometrics , Vol. 34, 2, 155-201, 2014, (with Bruno Lund)
Forecasting the Brazilian Term Structure using Macroeconomic Factors
Brazilian Review of Econometrics , Vol. 34, 1, 45-77, 2014, (with Adriano Faria)
Extracting Default Probabilities from Sovereign Bonds
Brazilian Review of Econometrics , Vol. 28, 1, 77-94, 2008, (with Bernardo Meres)
Movimentos da Estrutura a Termo e Criterios de Minimizacao do Erro de Previsao em um Modelo Parametrico Exponencial (in Portuguese)
Revista Brasileira de Economia , Vol. 62, 4, 497-510, 2008, (with R. Gomes, A. Leite and J. Vicente)
Um Modelo de Fatores Latentes com Variaveis Macroeconomicas para a Curva de Cupom Cambial (in Portuguese)
Brazilian Review of Finance, Vol. 5, 1, 2007, (with F. Pinheiro, and J. Vicente),
Pricing and Modeling Credit Derivatives
Brazilian Review of Econometrics , Vol. 27, 107-129, 2007, (with M. Akat and G. Papanicolaou)
Brazilian Review of Econometrics , Vol. 25, 1, 89-114, 2005
Interest Rate Risk Measurement in the Brazilian Sovereign Market
Estudos Economicos, Vol. 34, 2, 2004, (with A. Duarte and C. Fernandes)
Alocacao de Carteiras com Risco de Credito (in Portuguese)
Brazilian Review of Finance, Vol. 1, 2, 301-339, 2003, (with R. Oliveira)