Lucas Godeiro

Federal Rural University of Semi-Arid - UFERSA

Assistant Professor

Mossoró

Brazil

http://www.ufersa.edu.br

  • Federal Rural University of Semi-Arid - UFERSA

    • Email
    • Tel: +55-3317-8555
SCHOLARLY PAPERS

7

DOWNLOADS

741

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

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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 259 (203,717)

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

2.

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 172 (297,754)

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CAPM, Multivariate GARCH, Dynamic betas

3.

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 162 (313,263)

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VaR, GARCH, Monte Carlo Simulation

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 50 (660,866)

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

5.

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 48 (678,561)

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Stochastic Volatility Model, Kalman Filter, Vale

6.

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 41 (716,904)

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territory, FAP, agricultural trading, collective organization

7.

Capturing Economic Uncertainty: Building a Sentiment Dictionary in Portuguese

Number of pages: 48 Posted: 03 Nov 2023
Pierre Hítalo Nascimento Silva, Cássio Nóbrega Besarria, Maria Daniella Silva and Lucas Godeiro
affiliation not provided to SSRN, affiliation not provided to SSRN, Federal University of Paraiba (UFPB) and Federal Rural University of Semi-Arid - UFERSA
Downloads 9 (990,977)

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Economic uncertainty, Dictionary, Sentiment analysis.