Carlos M. Carvalho

University of Texas at Austin - Red McCombs School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

9

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1,506

CITATIONS
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13

Scholarly Papers (9)

1.

On the Long Run Volatility of Stocks

The Journal of the American Statistical Association, 2018 Forthcoming
Number of pages: 42 Posted: 13 Jul 2016 Last Revised: 09 Feb 2018
Carlos M. Carvalho, Hedibert Lopes and Robert E. McCulloch
University of Texas at Austin - Red McCombs School of Business, Insper and University of Chicago - Booth School of Business
Downloads 331 (89,348)
Citation 1

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2.

Variable Selection in Seemingly Unrelated Regressions with Random Predictors

Bayesian Analysis, Volume 12, Number 4 (2017), 969-989. https://projecteuclid.org/euclid.ba/1488855633
Number of pages: 21 Posted: 29 May 2016 Last Revised: 15 Oct 2018
David Puelz, P. Richard Hahn and Carlos M. Carvalho
University of Chicago - Booth School of Business - Econometrics and Statistics, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Texas at Austin - Red McCombs School of Business
Downloads 222 (136,366)
Citation 5

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3.

Particle Learning and Smoothing

Statistical Science, Vol. 25, No. 1, pp. 88-106, 2010
Number of pages: 19 Posted: 22 Oct 2011 Last Revised: 09 Nov 2011
University of Texas at Austin - Red McCombs School of Business, Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 219 (137,555)
Citation 11

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4.

Sparse Mean-Variance Portfolios: A Penalized Utility Approach

Number of pages: 24 Posted: 10 Feb 2016 Last Revised: 27 Dec 2016
David Puelz, P. Richard Hahn and Carlos M. Carvalho
University of Chicago - Booth School of Business - Econometrics and Statistics, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Texas at Austin - Red McCombs School of Business
Downloads 193 (154,983)
Citation 2

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portfolio optimization, passive investing, mean-variance optimization, decoupling shrinkage and selection

5.

Bayesian Regression Tree Models for Causal Inference: Regularization, Confounding, and Heterogeneous Effects

Number of pages: 31 Posted: 06 Oct 2017 Last Revised: 22 Jul 2018
P. Richard Hahn, Jared Murray and Carlos M. Carvalho
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, University of Texas at Austin - Red McCombs School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 135 (210,147)
Citation 3

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causal inference, treatment effects, heterogeneous effects, subgroup effects, tree methods, Bayesian, nonparametric regression, nonlinear regression

6.

Portfolio Selection for Individual Passive Investing

Number of pages: 41 Posted: 05 Jul 2017 Last Revised: 03 Apr 2019
David Puelz, P. Richard Hahn and Carlos M. Carvalho
University of Chicago - Booth School of Business - Econometrics and Statistics, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Texas at Austin - Red McCombs School of Business
Downloads 129 (217,896)
Citation 1

Abstract:

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Bayesian methods, dynamic portfolio selection, decision theory, model selection

7.

Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models

Number of pages: 53 Posted: 18 Oct 2018
Carlos M. Carvalho, Jared Fisher and Davide Pettenuzzo
University of Texas at Austin - Red McCombs School of Business, University of Texas at Austin - Red McCombs School of Business and Brandeis University - International Business School
Downloads 111 (243,484)

Abstract:

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Optimal Asset Allocation, Bayesian Econometrics, Dynamic Linear Models

8.

Monotonic Effects of Characteristics on Returns

Number of pages: 27 Posted: 01 Aug 2018 Last Revised: 13 Jun 2019
Jared Fisher, David Puelz and Carlos M. Carvalho
University of Texas at Austin - Red McCombs School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics and University of Texas at Austin - Red McCombs School of Business
Downloads 105 (253,275)
Citation 1

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Cross Section of Returns, posterior summarization, Bayesian modeling, Bayesian econometrics

9.

Regularization and Confounding in Linear Regression for Treatment Effect Estimation

Bayesian Analysis Volume 13, Number 1 (2018), 163-182. https://projecteuclid.org/euclid.ba/1484103680
Number of pages: 20 Posted: 08 Feb 2016 Last Revised: 15 Oct 2018
P. Richard Hahn, Carlos M. Carvalho, Jingyu He and David Puelz
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, University of Texas at Austin - Red McCombs School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 61 (349,195)
Citation 2

Abstract:

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linear regression, regularization, treatment effect estimation, shrinkage