Roberto Mauad

Banco Central do Brasil

P.O. Box 08670

SBS Quadra 3 Bloco B - Edificio-Sede

Brasilia, Distr. Federal 70074-900

Brazil

SCHOLARLY PAPERS

3

DOWNLOADS

199

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Volatility Risk Premia and Future Commodities Returns

BIS Working Paper No. 619
Number of pages: 32 Posted: 01 Apr 2017 Last Revised: 06 Jul 2017
Jose Renato Haas Ornelas and Roberto Mauad
Banco Central do Brasil and Banco Central do Brasil
Downloads 153 (194,046)

Abstract:

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Commodity predictability, Volatility risk premium, Commodity currencies

2.

Multivariate Stochastic Volatility-Double Jump Model: An Application for Oil Assets

Banco Central do Brasil, Working Papers 415, January 2016
Number of pages: 40 Posted: 18 Sep 2017
Universidade de Ribeirão Preto, Banco Central do Brasil and Faculty of Economic Sciences - State University of Rio de Janeiro
Downloads 31 (466,668)

Abstract:

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Oil Prices, Jumps, Stochastic Volatility, Risk Management

3.

A Common Jump Factor Stochastic Volatility Model

Finance Research Letters, Vol. 12, No. 2-10, 2015
Number of pages: 26 Posted: 18 Sep 2017
Marcio Poletti Laurini and Roberto Mauad
Universidade de Ribeirão Preto and Banco Central do Brasil
Downloads 15 (556,146)

Abstract:

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Stochastic Volatility, MCMC, Jump Process, Regime Changes