Daniel O. Cajueiro

University of Brasilia - Department of Economics

Brazil

SCHOLARLY PAPERS

7

DOWNLOADS

653

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Volatility Estimation and Option Pricing with Fractional Brownian Motion

Number of pages: 22 Posted: 06 Nov 2005
Daniel O. Cajueiro and José Fajardo
University of Brasilia - Department of Economics and Getulio Vargas Foundation
Downloads 447 (81,808)
Citation 1

Abstract:

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Fractional Brownian Motion, Derivative Pricing, Hurst exponent

2.

Inflation, Unemployment, and the Time Consistency of the US Monetary Policy

Number of pages: 16 Posted: 30 Oct 2008
Adolfo Sachsida, Jose Angelo Divino and Daniel O. Cajueiro
Institute for Applied Economic Research (IPEA), Catholic University of Brasilia and University of Brasilia - Department of Economics
Downloads 112 (304,853)
Citation 1

Abstract:

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Time consistency, Unemployment, Inflation

3.

Won't Get Fooled Again: A Supervised Machine Learning Approach for Screening Gasoline Cartels

CESifo Working Paper No. 8835
Number of pages: 51 Posted: 26 Jan 2021
University of Alberta - Department of Economics, Universidade Federal de Juiz de Fora - Department of Economics, Universidade Federal do Rio de Janeiro (UFRJ) and University of Brasilia - Department of Economics
Downloads 63 (430,479)

Abstract:

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4.

The Impacts of Monetary Policy on Banks’ Loan Portfolio Risk-Taking

Number of pages: 30 Posted: 02 Aug 2021
Universidade de Brasilia - Department of Economics, University of Alberta - Department of Economics, Universidade de Brasília (UnB) - Department of Economics and University of Brasilia - Department of Economics
Downloads 22 (627,892)

Abstract:

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Agent Based Model, Banking, Loan Portfolio, Monetary Policy, Risk

5.

The Impacts of Monetary Policy on Banks' Loan Portfolio Risk-taking

Number of pages: 30 Posted: 09 Aug 2021
Universidade de Brasilia - Department of Economics, University of Alberta - Department of Economics, Universidade de Brasília (UnB) - Department of Economics and University of Brasilia - Department of Economics
Downloads 9 (725,212)

Abstract:

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Agent-Based Model, Banking, Loan Portfolio, Monetary Policy, Risk

6.

Long-Range Dependence in Exchange Rates: The Case of the European Monetary System

International Journal of Theoretical and Applied Finance, Vol. 11, Issue 2, pp. 199-223, 2008
Posted: 30 Nov 2009
Sergio Souza, Benjamin M. Tabak and Daniel O. Cajueiro
Government of the Federative Republic of Brazil - Central Bank of Brazil, FGV/EPPG and University of Brasilia - Department of Economics

Abstract:

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Long memory, exchange rates, R/S analysis, financial crisis

7.

Testing for Predictability in Equity Returns for European Transition Markets

Economic Systems, Vol. 30, No. 1, pp. 56-78, March 2006
Posted: 11 Apr 2006
Benjamin M. Tabak and Daniel O. Cajueiro
FGV/EPPG and University of Brasilia - Department of Economics

Abstract:

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European transition economies, Hurst exponents, Long memory, Predictability, Variance ratio, Multifractality