3
H index
1
i10 index
33
Citations
JOSE RENATO HAAS ORNELAS : Citation Profile
Banco Central do Brasil | RESEARCH PRODUCTION: 8 Articles 16 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2003 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with JOSE RENATO HAAS ORNELAS. | Is cited by:
| Cites to:
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Main data
Where JOSE RENATO HAAS ORNELAS has published?
| Journals with more than one article published | # docs |
|---|---|
| Brazilian Review of Econometrics | 2 |
| Brazilian Review of Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers Series / Central Bank of Brazil, Research Department | 11 |
Recent works citing JOSE RENATO HAAS ORNELAS (2019 and 2018)
| Year | Title of citing document |
|---|---|
| 2019 | A Volatility Smile-Based Uncertainty Index. (2019). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:502. Full description at Econpapers || Download paper |
| 2018 | Cross-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. Full description at Econpapers || Download paper |
| 2017 | Sophistication and price impact of foreign investors in the Brazilian stock market. (2017). Gonalves, Walter ; Eid, William . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:102-139. Full description at Econpapers || Download paper |
| 2018 | “On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33. Full description at Econpapers || Download paper |
| 2018 | Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137. Full description at Econpapers || Download paper |
| 2018 | Chinese resource demand or commodity price shocks: Macroeconomic effects for an emerging market economy. (2018). Fry-McKibbin, Renee ; da Silva, Rodrigo. In: CAMA Working Papers. RePEc:een:camaaa:2018-45. Full description at Econpapers || Download paper |
| 2017 | Variance Premium and Implied Volatility in a Low-Liquidity Option Market. (2017). Giovannetti, Bruno ; Chague, Fernando ; da Silva, Marcos Eugenio ; Astorino, Eduardo . In: Revista Brasileira de Economia - RBE. RePEc:fgv:epgrbe:v:71:y:2017:i:1:a:59368. Full description at Econpapers || Download paper |
| 2018 | Cross-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. Full description at Econpapers || Download paper |
| 2018 | The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9. Full description at Econpapers || Download paper |
| 2019 | Asset allocation with multiple analysts’ views: a robust approach. (2019). Li, Baibing ; Tee, Kai-Hong ; Lu, I-Chen. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:3:d:10.1057_s41260-019-00115-7. Full description at Econpapers || Download paper |
| 2019 | Bitcoins return behaviour: What do We know so far?. (2019). Fajardo, Jose. In: MPRA Paper. RePEc:pra:mprapa:93353. Full description at Econpapers || Download paper |
Works by JOSE RENATO HAAS ORNELAS:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2006 | Herding Behavior by Equity Foreign Investors on Emerging Markets In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Behavior and Effects of Equity Foreign Investors on Emerging Markets In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options In: Working Papers Series. [Full Text][Citation analysis] | paper | 6 |
| 2012 | Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options.(2012) In: EBAPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2014 | Testing the Liquidity Preference Hypothesis using Survey Forecasts In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Testing the liquidity preference hypothesis using survey forecasts.(2015) In: Emerging Markets Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2014 | Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2015 | The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Expected Currency Returns and Volatility Risk Premia In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Volatility Risk Premia and Future Commodity Returns In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Volatility 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: 2 | article | |
| 2017 | Risco, Dívida e Alavancagem Soberana In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Implied Volatility Term Structure and Exchange Rate Predictability In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Combining equilibrium, resampling, and analysts views in portfolio optimization In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 3 |
| 2012 | Combining equilibrium, resampling, and analyst’s views in portfolio optimization.(2012) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2017 | Volatility risk premia and future commodities returns In: BIS Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | A Goodness-of-Fit Test with Focus on Conditional Value at Risk In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2011 | Recovering Risk-Neutral Densities from Brazilian Interest Rate Options In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2003 | Goodness-of-fit Tests focus on VaR Estimation In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2004 | Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Goodness-of-fit Tests Focus on Value-at-Risk Estimation In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2016 | The Forecast Ability of Option-implied Densities from Emerging Markets Currencies In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2012 | Yes, the choice of performance measure does matter for ranking of us mutual funds In: International Journal of Finance & Economics. [Citation analysis] | article | 11 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 11 2019. Contact: CitEc Team