Yuri Saporito

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics

Praia de Botafogo

Rio de Janeiro, 22250-900

Brazil

SCHOLARLY PAPERS

4

DOWNLOADS

246

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

The Impact of the Freedom of the Press on Risk

Number of pages: 36 Posted: 14 Aug 2018 Last Revised: 12 Dec 2018
Diogo Duarte, Yuri Saporito and Rodrigo Targino
Florida International University (FIU) - Department of Finance, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 88 (319,668)

Abstract:

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Freedom of the Press, Economic Policy Uncertainty, Volatility, Financial Markets, Bayesian Vector Autoregression (VAR)

2.

Vanishing Contagion Spreads

Number of pages: 57 Posted: 15 Dec 2017 Last Revised: 14 Sep 2020
Florida International University (FIU) - Department of Finance, INSEAD, Questrom School of Business, Boston University and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 88 (319,668)

Abstract:

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Credit Risk, Credit Spreads, Contagion, Exchange Economy, Equilibrium, Idiosyncratic shocks, Risk Premia Representation

3.

Endogenous Asymmetric Money Illusion

Number of pages: 67 Posted: 27 Apr 2018 Last Revised: 17 Oct 2019
Diogo Duarte and Yuri Saporito
Florida International University (FIU) - Department of Finance and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 59 (398,715)

Abstract:

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Money Illusion, Modigliani-Cohn Hypothesis, Money Superneutrality, Asset Pricing

4.

Avoiding Zero Probability Events When Computing Value at Risk Contributions: A Malliavin Calculus Approach

Number of pages: 14 Posted: 28 May 2020
Yuri Saporito and Rodrigo Targino
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 11 (639,330)

Abstract:

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Risk Management, Capital Allocation, Malliavin Calculus