Roberto Baltieri Mauad : Citation Profile


Are you Roberto Baltieri Mauad?

Banco Central do Brasil

3

H index

0

i10 index

19

Citations

RESEARCH PRODUCTION:

4

Articles

4

Papers

RESEARCH ACTIVITY:

   7 years (2012 - 2019). See details.
   Cites by year: 2
   Journals where Roberto Baltieri Mauad has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 1 (5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma2425
   Updated: 2020-01-25    RAS profile: 2019-09-06    
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Relations with other researchers


Works with:

ORNELAS, JOSE (4)

Laurini, Márcio (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Roberto Baltieri Mauad.

Is cited by:

SHIM, ILHYOCK (4)

Chaim, Pedro (3)

Laurini, Márcio (3)

ORNELAS, JOSE (2)

Everaert, Gerdie (2)

Symeonidis, Lazaros (2)

Iseringhausen, Martin (2)

Cites to:

Bollerslev, Tim (8)

Rogoff, Kenneth (8)

Rossi, Barbara (6)

Tauchen, George (4)

Baur, Dirk (4)

Resiandini, Pramesti (4)

Kim, Hyeongwoo (4)

Perron, Pierre (4)

Diebold, Francis (3)

Shephard, Neil (3)

Zhou, Hao (3)

Main data


Where Roberto Baltieri Mauad has published?


Working Papers Series with more than one paper published# docs
Working Papers Series / Central Bank of Brazil, Research Department3

Recent works citing Roberto Baltieri Mauad (2019 and 2018)


YearTitle of citing document
2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2019Nonlinear dependence in cryptocurrency markets. (2019). Laurini, Márcio ; Chaim, Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:32-47.

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2019Expected currency returns and volatility risk premia. (2019). Haas, Jose Renato. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:206-234.

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2018Volatility and return jumps in bitcoin. (2018). Laurini, Márcio ; Chaim, Pedro. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:158-163.

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2018Measuring the international dimension of output volatility. (2018). Iseringhausen, Martin ; Everaert, Gerdie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:20-39.

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2019The economic drivers of commodity market volatility. (2019). Symeonidis, Lazaros ; Stancu, Andrei ; Prokopczuk, Marcel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:4.

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2019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets. (2019). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:67-:d:224155.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: CIS Discussion paper series. RePEc:hit:cisdps:667.

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2019Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]. (2019). Levy, Ariel ; Lucena, Fernando Antonio . In: Nova Economia. RePEc:nov:artigo:v:29:y:2019:i:1:p:223-248.

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Works by Roberto Baltieri Mauad:


YearTitleTypeCited
2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets In: Working Papers Series.
[Full Text][Citation analysis]
paper3
2017Volatility Risk Premia and Future Commodity Returns In: Working Papers Series.
[Full Text][Citation analysis]
paper5
2019Volatility risk premia and future commodity returns.(2019) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2019Implied Volatility Term Structure and Exchange Rate Predictability In: Working Papers Series.
[Full Text][Citation analysis]
paper1
2017Volatility risk premia and future commodities returns In: BIS Working Papers.
[Full Text][Citation analysis]
paper5
2014The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. In: Economics Bulletin.
[Full Text][Citation analysis]
article1
2015A common jump factor stochastic volatility model In: Finance Research Letters.
[Full Text][Citation analysis]
article4
2012Non-Parametric Pricing of Interest Rates Options In: Brazilian Review of Econometrics.
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article0

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