Lucas Godeiro

Federal Rural University of Semi-Arid - UFERSA

Assistant Professor

Mossoró

Brazil

http://www.ufersa.edu.br

SCHOLARLY PAPERS

8

DOWNLOADS

1,116

TOTAL CITATIONS

0

Scholarly Papers (8)

1.

Time-Varying Dictionary and the Predictive Power of FED Minutes

Number of pages: 47 Posted: 18 Jan 2019
Luiz Renato Lima, Lucas Godeiro and Mohammed Mohsin
University of Tennessee, Knoxville, Federal Rural University of Semi-Arid - UFERSA and University of Tennessee, Knoxville - College of Business Administration - Department of Economics
Downloads 357 (182,007)

Abstract:

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Text Regression, Supervised Machine Learning, Elastic Net, Central Bank Communication, Forecasting, Real Time

2.

Estimating the VAR (Value-at-Risk) of Brazilian Stock Portfolios via GARCH Family Models and via Monte Carlo Simulation

Number of pages: 21 Posted: 15 Aug 2013
Lucas Godeiro
Federal Rural University of Semi-Arid - UFERSA
Downloads 201 (327,004)

Abstract:

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VaR, GARCH, Monte Carlo Simulation

3.

Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012

Number of pages: 29 Posted: 08 May 2013
Lucas Godeiro
Federal Rural University of Semi-Arid - UFERSA
Downloads 188 (347,925)

Abstract:

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CAPM, Multivariate GARCH, Dynamic betas

4.

Quantile Forecasting with Textual Data

Number of pages: 35 Posted: 25 Jul 2023
Luiz Renato Lima and Lucas Godeiro
University of Tennessee, Knoxville and Federal Rural University of Semi-Arid - UFERSA
Downloads 116 (519,323)

Abstract:

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Textual data, quantile regression, factor model, density forecast, portfolio analysis.

5.

Factor-Based Quantile Forecasting with Textual Data

Number of pages: 47 Posted: 31 Jan 2024
Luiz Renato Lima, Lucas Godeiro and Jie Wei
University of Tennessee, Knoxville, Federal Rural University of Semi-Arid - UFERSA and affiliation not provided to SSRN
Downloads 95 (599,232)

Abstract:

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Textual data, quantile regression, factor model, density forecast, portfolio analysis.

6.

Impact of Calendar Effects in the Volatility of Vale Shares

Number of pages: 12 Posted: 29 Apr 2013
Lucas Godeiro
Federal Rural University of Semi-Arid - UFERSA
Downloads 62 (765,256)

Abstract:

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Stochastic Volatility Model, Kalman Filter, Vale

7.

Impact of Food Acquisition Program in the Sertão-Apodi and Açu-Mossoró Territory from Brazil

Number of pages: 17 Posted: 18 Sep 2013
Emanoel Nunes and Lucas Godeiro
State University of Rio Grande do Norte and Federal Rural University of Semi-Arid - UFERSA
Downloads 56 (805,726)

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territory, FAP, agricultural trading, collective organization

8.

Capturing Economic Uncertainty: Building a Sentiment Dictionary in Portuguese

Number of pages: 48 Posted: 03 Nov 2023
affiliation not provided to SSRN, affiliation not provided to SSRN, Federal University of Paraiba (UFPB) and Federal Rural University of Semi-Arid - UFERSA
Downloads 41 (929,030)

Abstract:

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Economic uncertainty, Dictionary, Sentiment analysis.