Jose Renato Haas Ornelas

Banco Central do Brasil

P.O. Box 08670

SBS Quadra 3 Bloco B - Edificio-Sede

Brasilia, Distrito Federal 70074-900

Brazil

http://www.bcb.gov.br

SCHOLARLY PAPERS

22

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CITATIONS
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19

Scholarly Papers (22)

1.

A Performance Attribution Methodology for Fixed Income Portfolios

PORTFOLIO AND RISK MANAGEMENT FOR CENTRAL BANKS AND SOVEREIGN WEALTH FUNDS, Ken Nyholm, Joachim Coche, and Gabriel Petre, eds.
Number of pages: 16 Posted: 21 Dec 2009 Last Revised: 24 Mar 2011
Federal University of Bahia - UFBA, Banco Central do Brasil and Banco Central do Brasil
Downloads 1,752 (8,842)

Abstract:

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Performance, Attributtion, Fixed Income, Central Bank

2.

Herding Behaviour by Equity Foreign Investors on Emerging Markets

Banco Central do Brasil Working Paper No. 125
Number of pages: 28 Posted: 30 Mar 2008
Jose Renato Haas Ornelas and Barbara Alemanni
Banco Central do Brasil and affiliation not provided to SSRN
Downloads 533 (50,325)

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Herding, Behaviour, Emerging Markets

3.

The Benefits of International Portfolio Diversification

Number of pages: 9 Posted: 14 May 2010
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília
Downloads 449 (62,435)

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Diversification, Numeraire, Resampling, Risk Aversion

4.

Minimising Operational Risk in Portfolio Allocation Decisions

Number of pages: 19 Posted: 11 Jan 2007 Last Revised: 20 Jan 2009
Jose L. B. Fernandes and Jose Renato Haas Ornelas
Universidade de Brasília and Banco Central do Brasil
Downloads 401 (71,532)
Citation 1

Abstract:

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Model risk; Estimation risk, Portfolio Optimisation

5.

Behavior and Effects of Foreign Investors on Istanbul Stock Exchange

Number of pages: 24 Posted: 29 Jan 2005
Can Adabag and Jose Renato Haas Ornelas
Bocconi University and Banco Central do Brasil
Downloads 373 (77,786)
Citation 3

Abstract:

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Foreign investors, feedback trading, price pressure, base broadening

Momentum and Reversal Puzzle in Emerging Markets

Number of pages: 19 Posted: 04 Mar 2005 Last Revised: 24 Mar 2008
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília
Downloads 364 (79,406)
Citation 2

Abstract:

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Emerging Markets, Reversal, Momentum

Momentum and Reversal Puzzle in Emerging Markets

Icfai Journal of Behavioral Finance, Forthcoming
Posted: 13 Jun 2008
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília

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Emerging Markets, Reversal, Momentum

7.

Yes, the Choice of Performance Measure Does Matter for Ranking of US Mutual Funds

Number of pages: 17 Posted: 13 May 2009 Last Revised: 18 Dec 2009
Jose Renato Haas Ornelas, Antonio F. A. Silva Jr. and Jose L. B. Fernandes
Banco Central do Brasil, Federal University of Bahia - UFBA and Universidade de Brasília
Downloads 342 (86,094)
Citation 6

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Performance Measure, Rank Correlation, Sharpe Ratio

8.

Hidden Risks in Mean-Variance Optimization: An Intergrated-Risk Asset Allocation Proposal

INTEREST RATE MODELS, ASSET ALLOCATION AND QUANTITATIVE TECHNIQUES FOR CENTRAL BANKS AND SOVEREIGN WEALTH FUNDS, Arjan Bastiaan Berkelaar, Joachim Coche and Ken Nyholm, eds.
Number of pages: 23 Posted: 26 Nov 2008 Last Revised: 02 Oct 2010
Jose L. B. Fernandes and Jose Renato Haas Ornelas
Universidade de Brasília and Banco Central do Brasil
Downloads 312 (95,307)
Citation 1

Abstract:

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Integrated Risk Measure, Skewness, Credit Risk

9.

Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations

Brazilian Journal of Applied Economics, Vol. 9, No. 1, p. 25-38, 2005
Number of pages: 14 Posted: 19 Mar 2008
José Fajardo, Aquiles Farias and Jose Renato Haas Ornelas
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 263 (114,406)
Citation 3

Abstract:

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Generalized Hyperbolic, Value at Risk

10.

Behavior and Effects of Equity Foreign Investors on Emerging Markets

Number of pages: 28 Posted: 16 Mar 2008
Barbara Alemanni and Jose Renato Haas Ornelas
affiliation not provided to SSRN and Banco Central do Brasil
Downloads 241 (125,125)
Citation 2

Abstract:

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Feedback Trading, Portfolio Flows, Emerging Markets, Foreign Investors

11.

Accounting for Skewness in Performance Evaluation of Brazilian Mutual Funds

Banking and Finance Review, Vol. 1, pp. 119-132, 2009
Number of pages: 14 Posted: 13 May 2009 Last Revised: 20 Jun 2011
Aquiles Farias, Jose Renato Haas Ornelas and Antonio F. A. Silva Jr.
Government of the Federative Republic of Brazil - Central Bank of Brazil, Banco Central do Brasil and Federal University of Bahia - UFBA
Downloads 231 (130,585)

Abstract:

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Sharpe Ratio, Skewness, Performance Evaluation

12.

Best Practices in Measuring and Managing Market Risks after 2008 Crisis

Number of pages: 12 Posted: 26 Dec 2009
Federal University of Bahia - UFBA, Banco Central do Brasil and Banco Central do Brasil
Downloads 209 (143,769)

Abstract:

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Risk Management, Crisis, Historical Simulation, RiskMetrics, Misture of Normals, EVT

13.

Manipulation-Proof Performance Evaluation of Brazilian Fixed Income and Multimarket Funds

Number of pages: 14 Posted: 23 Jul 2008
Jose Renato Haas Ornelas, Aquiles Farias and Antonio F. A. Silva Jr.
Banco Central do Brasil, Government of the Federative Republic of Brazil - Central Bank of Brazil and Federal University of Bahia - UFBA
Downloads 198 (151,134)

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Perfornance Evaluation, Hedge Funds, Mutual Funds

14.

Commodity Return Predictability: Evidence from Implied Variance, Skewness and their Risk Premia

31st Australasian Finance and Banking Conference 2018
Number of pages: 46 Posted: 05 Mar 2018 Last Revised: 25 Apr 2019
Marinela Adriana Finta and Jose Renato Haas Ornelas
Singapore Management University and Banco Central do Brasil
Downloads 189 (157,781)

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Commodity Forecast, Implied Volatility, Implied Skewness, Risk Premium

15.

Expected Currency Returns and Volatility Risk Premia

Number of pages: 38 Posted: 14 Jul 2016 Last Revised: 20 Jun 2017
Jose Renato Haas Ornelas
Banco Central do Brasil
Downloads 170 (173,494)
Citation 1

Abstract:

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Currency return predictability, Volatility risk premium

16.

Professional Portfolio Managers - a Setting for Momentum Strategies

Number of pages: 19 Posted: 07 Feb 2007 Last Revised: 30 Jul 2008
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration, FGV/EPPG and Banco Central do Brasil
Downloads 170 (173,494)
Citation 1

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Momentum, Agency Theory, Prospect Theory

17.

A Goodness-of-Fit Test with Focus on Conditional Value at Risk

Brazilian Finance Review, Vol. 6, No. 2, pp. 139-155, 2008
Number of pages: 17 Posted: 04 May 2007 Last Revised: 04 Dec 2008
José Fajardo, Aquiles Farias and Jose Renato Haas Ornelas
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 169 (174,403)

Abstract:

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Goodness-of-Fit, Conditional Value at Risk, Risk Management

18.

Goodness-of-Fit Tests Focus on Value-at-Risk Estimation

Brazilian Review of Econometrics, Vol. 26, No. 2, pp. 309-326, November 2006
Number of pages: 18 Posted: 19 Mar 2008
José Fajardo, Aquiles Farias and Jose Renato Haas Ornelas
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 151 (191,872)

Abstract:

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Value-at-Risk, Distance, Goodness-of-fit

19.

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 148 (195,092)
Citation 2

Abstract:

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Commodity predictability, Volatility risk premium, Commodity currencies

20.

Recovering Risk-Neutral Densities from Brazilian Interest Rate Options

Brazilian Finance Review, Vol. 9, No. 1, pp. 9-26, 2011
Number of pages: 14 Posted: 01 May 2009 Last Revised: 20 Jun 2011
Jose Renato Haas Ornelas and Marcelo Yoshio Takami
Banco Central do Brasil and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 148 (195,092)

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Risk-Neutral Density, Interest Rate Options, Generalized Beta, Mixture of Log-Normals

21.

Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities Using Brazilian Real Currency Options

Number of pages: 12 Posted: 21 Sep 2011
Jose Renato Haas Ornelas, José Fajardo and Aquiles Farias
Banco Central do Brasil, Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 63 (343,441)
Citation 1

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Risk-Neutral Densities, Relative Risk Aversion, Currency Options

22.

The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks

Number of pages: 36 Posted: 11 Jan 2015
Jose Renato Haas Ornelas and Pablo Jose Campos de Carvalho
Banco Central do Brasil and Banco Central do Brasil
Downloads 35 (438,829)

Abstract:

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performance-based arbitrage, short-selling, Short covering, Leverage