Paulo Rodrigues

Maastricht University

Assistant Professor

P.O. Box 616

Maastricht, 6200MD

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

141

CITATIONS

7

Scholarly Papers (3)

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 59 Posted: 14 Mar 2012
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University and Goethe University Frankfurt - Research Center SAFE
Downloads 110 (247,928)
Citation 4

Abstract:

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Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility, level and slope of implied volatility smile

Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 09 Feb 2013
Roman Frey, Paulo Rodrigues and Norman Seeger
University of St. Gallen - Swiss Institute of Banking and Finance, Maastricht University and VU University Amsterdam
Downloads 31 (471,694)
Citation 2

Abstract:

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Stochastic volatility, Out-of-sample, Density forecasts, Particle filter

3.

Spatial Dependence in International Office Markets

Journal of Real Estate Finance and Economics, Vol. 51, No. 2, 2015
Posted: 03 Sep 2015
Andrea Chegut, Piet M. A. Eichholtz and Paulo Rodrigues
Maastricht University - Department of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Maastricht University

Abstract:

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Spatial dependence; Commercial real estate; Spatial autoregressive model; Spatial-temporal autoregressive model; Hedonic model