Osvaldo Candido - Curriculum Vitae
Short CV (English pdf) - Curriculum Lattes: http://lattes.cnpq.br/3691103797905606 (Portuguese)
ORCID: https://orcid.org/0000-0002-4850-6989
Google Scholar: link
Current position
February 18, 2010 Associate Professor of Economics and Finance at Catholic University of Brasilia, Brazil
Education Ph.D. Economics, Federal University of Rio Grande do Sul, 2010
MSc. Economics, Federal University of Paraiba, 2006
BSc. Economic Sciences, Federal University of Paraiba, 2004
Areas of Interest Financial Econometrics, Copula-based Modeling, Applied Econometrics
Previous Experience
2019 – 2020
Visiting Researcher at School of Economics and Management, University of Porto, Portugal. (Post-doctoral visiting scholar - FAPDF/UCB joint project)
2010, Spring
Visiting Professor at Central Bank of Brazil (BACEN). Training Program for Stability of the Financial System Monitoring – Copulas: Theory and Practice.
2009 – 2010
Technical Assistant at the Secretariat for Economic Monitoring of the Brazilian Ministry of Finance.
Publication in Peer-Reviewed Journals
"Effects of the illicit market on the price elasticity of cigarette consumption in Brazil" with José Angelo Divino, Philipp Ehrl and Marcos Valadão, Tobacco Control, 2023 (Forthcoming).
“What does Google say about credit developments in Brazil?” with Alberto Ronchi Neto, Studies in Nonlinear Dynamics & Econometrics, v.26, n. 4, 2022.
“Forecasting Risk Measures Using Intraday and Overnight Information” with Douglas G. Santos and Paula V. Tófoli, The North American Journal of Economics and Finance, v. 60, 2022.
“Private or Public Enterprises? Cost Inefficiency Limits: An Application to Water Supply Companies in Brazil” with Wilfredo F. L. Maldonado and Cintia L. M. Araujo, The Empirical Economics Letters, v. 21, n. 8, 2022.
"Effects of the Brazilian Tax Reform Plans on the Tobacco Market" with José Angelo Divino, Philipp Ehrl and Marcos Valadão, Tobacco Control, v.31, Suppl. 2, 2022.
“Extended cost-benefit-analysis of tobacco taxation in Brazil” with José Angelo Divino, Philipp Ehrl and Marcos Valadão, Tobacco Control, v. 31, Suppl. 2, 2022.
"Assessing the Effects of a Tobacco Tax Reform on the Industry Price-Setting Strategy" with José Angelo Divino, Philipp Ehrl and Marcos Valadão, International Journal of Environmental Research and Public Health, v. 18, n. 19, 2021.
“Regularization Methods for Estimating a Multi-Factor Corporate Bond Pricing Model: an Application for Brazil” with Paulo Roberto Guimarães and André Ronzani, Annals of Financial Economics, v. 16, n. 1, 2021.
“Evaluating the Euler Equation in an Open Economy Framework with Time-Varying Preference Rate” with Alberto Ronchi Neto, The Empirical Economics Letters, v. 19, n. 10, 2020.
“Measuring the Neutral Real Interest Rate in Brazil: a Semi-structural Open Economy Framework” with Alberto Ronchi Neto, Empirical Economics, v. 58, p. 651-667, 2020.
“Assessing Brazilian electric power transmission auctions: a copula-based sample selection model” with Washington Martins, Journal of Economic Studies,v. 47 n.1, p. 182-199, 2020.
“School Effect and Student Performance: a Latin American Assessment from PISA” with Fabiana Assis Alves. Economia, 43(86), 79-99, 2020.
“Accuracy of Policy Function Approximations for Strongly Concave Recursive Problems” with Wilfredo F. L. Maldonado and Luis Felipe V. N. Pereira, International Journal of Economic Theory, v. 15 n. 3, 2019.
“Modeling vine-production function: An approach based on Vine Copula” with Michel Constantino, Eduardo Borges, Thiago Christiano Silva and Benjamin Miranda Tabak, Physica A: Statistical Mechanics and its Applications, v. 531, 2019.
“Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)” with Paula Tofoli, Flavio Ziegelmann and Pedro Valls Pereira, Journal of Time Series Econometrics, v. 11, p. 1-34, 2019.
“Automobile insurance in Brazil: market concentration and demand” with Wilfredo Maldonado and Vivileine Peres, Accounting & Finance Review, v. 30 n. 81, p. 396-408, 2019.
“Marginal Effect of Direct Tax on Profits: A Study on the Taxation of the Finance Industry in Brazil”, with Wilfredo Sosa and Jose de França. International Journal of Economics and Finance, v. 11, p. 1-11, 2019.
“Dependence among exchange rates, commodities and the Brazilian stock market: An R-Vine SCAR approach” with Daniel H. Salgado, Journal of Risk, v. 21, p. 37-62, 2018.
“Backtesting for the Expected Shortfall of the Trading Book: An Assessment of Methodologies” with Leonardo N. Castro, Brazilian Review of Finance, v.16, p. 123-155, 2018. (Portuguese)
“Inflation, interest rate and output gap in the US economy: a vine copula modeling” with Jose Angelo Divino, Journal of Economic Studies, Volume 44, Issue 3, 2017, pages 412-430.
“Modeling stochastic frontier based on vine copulas” with Michel Constantino, Benjamin M. Tabak and Reginaldo Brito da Costa, Physica A: Statistical Mechanics and its Applications, Volume 486, 2017, Pages 595-609.
“A Comparison Study of Copula Models for European Financial Index Returns” with Paula V. Tofoli, Flavio A. Ziegelmann, International Journal of Economics and Finance, Volume 9, No 10, 2017, pages 155-178.
“Goodness-of-Fit versus Significance: A CAPM Selection with Dynamic Betas Applied to the Brazilian Stock Market” with André R. P. Ronzani and Wilfredo F. L. Maldonado, International Journal of Financial Studies, Volume 5, Issue 4, 2017.
“Assessing the Human Capital Emergence, Performance and Effectiveness in a Brazilian Retail Bank” with Pedro P. Carbone and Tito, B. S. Moreira, International Journal of Economics and Finance, Volume 9, No 12, 2017, pages 134-152.
“Monetary policy in Cape Verde and macroeconomic changes: Empirical evidences” with Jailson C. T. Oliveira and Bruno F. Frascaroli, African Journal of Business Management, Volume 9, 2015, p. 76-95.
“Dependence Analysis of Ethanol, Sugar, Oil, BRL/USD Exchange Rate and Bovespa: a Vine Copula Approach” with Anderson G. Resende, Economia Aplicada, Volume 19, No 3, 2015, pages 455-476.
“Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model” with Alberto Ronchi Neto, Brazilian Review of Finance, Volume 13, No 2, 2015, pages 251-287. (Portuguese)
“Assessing Dependence between Financial Market Indexes using Conditional Time-Varying Copulas: Applications to Value-at-Risk” with Flavio A. Ziegelmann and Michael J. Dueker, Quantitative Finance, Volume 14, Issue 12, 2014, Pages 2155-2170.
“Assessing some Stylized Facts about Financial Market Indexes: a Markov Copula Approach” with Flavio A. Ziegelmann, Journal of Economic Studies, Volume 41, Issue 2, 2014, Pages 253-271.
“Modelling Dependence Dynamics through Copulas with Regime Switching” with Flavio A. Ziegelmann and Michael J. Dueker, Insurance: Mathematics and Economics, Volume 50, Issue 3, May 2012, Pages 346-356. (Matlab Code)
“A Dynamic Model of Education Level Choice: Application to Brazilian States” with Wilfredo L. Maldonado and Isabel M. Marques, Brazilian Review of Economics, Volume 66, Issue 2, 2012, Pages 225-245.
“VaR Models and the new capital requirement formula for trading portfolio: a Brazilian market analysis” with Claysson Ribeiro Vieira, Pesquisa e Planejamento Econômico, Volume 42, Issue 1, April 2012, Pages 137-183. (Portuguese)
“Ratings of Sovereign Risk and the Macroeconomics Fundamentals of the countries: a Study Using Artificial Neural Networks” with Bruno Ferreira Frascaroli and Luciano da Costa Silva, Brazilian Review of Finance, 2009, 7(1) , pp. 73-106. (Portuguese)