Márcio Laurini

University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)

Av. Bandeirantes 3900 - Monte Alegre

Ribeião Preto, 14040-900

Brazil

  • University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)

SCHOLARLY PAPERS

8

DOWNLOADS

433

TOTAL CITATIONS

2

Scholarly Papers (8)

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1.

Climate Risk Premium: Assessing the Influence of Global Warming Effects on Stock Market Dynamics

Number of pages: 47 Posted: 26 Oct 2023
Adriano Barasal Morales, Márcio Laurini and Anton Vrieling
University of Twente, University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP) and University of Twente
Downloads 119 (464,026)
Citation 1

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Spatial Finance, Global Warming, Risk Premium, Temperature Risk

2.

Lottery Stocks in Brazil: Investigating Risk Premium and Investor Behavior

Number of pages: 35 Posted: 05 Jul 2023
Gabriel Sifuentes Rocha and Márcio Laurini
University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP) and University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)
Downloads 108 (498,682)

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Lotteries, Risk Premia, Investor Behavior.

3.

Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators

Number of pages: 35 Posted: 29 Sep 2020
Caio Vigo Pereira and Márcio Laurini
University of Kansas - Department of Economics and University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)
Downloads 71 (645,650)

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Portfolio Efficiency, Conditional Information, Efficiency Tests, GEL, GMM

4.

Quantifying Systemic Risk in Cryptocurrency Markets: A High-Frequency Approach

Number of pages: 45 Posted: 28 Aug 2024
João Pedro Malim Franco and Márcio Laurini
affiliation not provided to SSRN and University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)
Downloads 44 (802,248)

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Conditional Value-at-Risk (CoVaR), cryptocurrencies, Backtesting.

5.

Nonlinear Dependence between the Us Banking and Insurance Markets During Covid-19 Pandemic

Number of pages: 34 Posted: 25 Mar 2024
Rodrigo Branco, Pedro Chaim and Márcio Laurini
affiliation not provided to SSRN, affiliation not provided to SSRN and University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)
Downloads 27 (944,275)
Citation 1

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Volatility Spillover, stochastic volatility, jumps, COVID-19.

6.

A Multivariate Stochastic Volatility Model with Generalized Factor Dynamics

Number of pages: 32 Posted: 02 Aug 2024
Márcio Laurini, João Pedro Coli de Souza Monteneri Nacinben, João Pedro Malim Franco and Pedro Chaim
University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP), affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 24 (974,059)

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Multivariate Stochastic Volatility, Factor Models, fractional Gaussian Noise, Splines, Forecasting.

7.

Unveiling Cerrado Deforestation: A Comparative Analysis Among Brazilian States

Number of pages: 23 Posted: 16 May 2024
Adriano Barasal Morales and Márcio Laurini
University of Twente and University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)
Downloads 21 (1,005,756)

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Cerrado Deforestation, ENVIRONMENTAL REGULATIONS, Spatio-temporal Analysis, Sustainable development, Climate change

8.

Bayesian Structural Decomposition of Streamflow Time Series

Number of pages: 38 Posted: 13 May 2024
Vitor Recacho and Márcio Laurini
University of São Paulo (USP) and University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)
Downloads 19 (1,027,866)

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treamflow, Latent components, Bayesian analysis, Trend, quantile regression.