5
H index
2
i10 index
81
Citations
JOSE RENATO HAAS ORNELAS : Citation Profile
Banco Central do Brasil | RESEARCH PRODUCTION: 11 Articles 21 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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18 years (2003 - 2021). 
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:
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Main data
Where JOSE RENATO HAAS ORNELAS has published?
| Journals with more than one article published | # docs |
|---|---|
| Brazilian Review of Finance | 2 |
| International Journal of Finance & Economics | 2 |
| Brazilian Review of Econometrics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers Series / Central Bank of Brazil, Research Department | 14 |
Recent works citing JOSE RENATO HAAS ORNELAS (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | High Lending Interest Rates in Brazil: cost or concentration?. (2021). Trafane Oliveira Santos, Thiago. In: Working Papers Series. RePEc:bcb:wpaper:550. Full description at Econpapers || Download paper |
| 2021 | COVID-19 and Local Market Power in Credit Markets. (2021). Silva, Thiago ; Guerra, Solange Maria ; Stancato, Sergio Rubens. In: Working Papers Series. RePEc:bcb:wpaper:558. Full description at Econpapers || Download paper |
| 2022 | Covid-19 and market power in local credit markets: the role of digitalization. (2022). Stancato, Sergio Rubens ; Silva, Thiago Christiano ; Guerra, Solange Maria. In: BIS Working Papers. RePEc:bis:biswps:1017. Full description at Econpapers || Download paper |
| 2021 | Do low-carbon investments in emerging economies pay off? Evidence from the Brazilian stock market. (2021). , Andre ; Klotzle, Marcelo Cabus ; Orsato, Renato J ; Meira, Erick ; Fogliano, Felipe Arias. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000430. Full description at Econpapers || Download paper |
| 2022 | Informational switching costs, bank competition, and the cost of finance. (2022). Nazar, Bernardus Ferdinandus ; da Silva, Marcos Soares ; Haas, Jose Renato. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000085. Full description at Econpapers || Download paper |
| 2021 | Cross-stock market spillovers through variance risk premiums and equity flows. (2021). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001315. Full description at Econpapers || Download paper |
| 2021 | Peer effects and social learning in banks’ investments in information technology. (2021). Nilakantan, Rahul ; Gangopadhyay, Partha. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:456-463. Full description at Econpapers || Download paper |
| 2021 | Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market. (2021). Fry-McKibbin, Renee ; da Silva, Rodrigo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:781-800. Full description at Econpapers || Download paper |
| 2021 | Banking sector reactions to COVID-19: The role of bank-specific factors and government policy responses. (2021). Demir, Ender ; Danisman, Gamze Ozturk. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s027553192100129x. Full description at Econpapers || Download paper |
| 2022 | Implied volatility surface construction for commodity futures options traded in China. (2022). Evi, Eljko ; Xu, Wei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000642. Full description at Econpapers || Download paper |
| 2022 | Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021). (2022). Zhang, Hang ; Giouvris, Evangelos. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:134-:d:769142. Full description at Econpapers || Download paper |
| 2021 | Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina. (2021). Pesce, Gabriela ; Milanesi, Gaston ; Chavez, Etelvina Stefani. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:1:a:8. Full description at Econpapers || Download paper |
| 2021 | Carry Trade Returns and Segmented Risk Pricing. (2021). Schulze, Gordon. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:49:y:2021:i:1:d:10.1007_s11293-021-09698-2. Full description at Econpapers || Download paper |
| 2021 | Commodity prices and the Brazilian real exchange rate. (2021). de Lima, Joo E ; de Mattos, Leonardo B ; da Silva, Rodrigo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:3152-3172. Full description at Econpapers || Download paper |
| 2022 | Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility. (2022). Clements, Adam ; Tang, Yusui ; Liao, Yin. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:86-99. Full description at Econpapers || Download paper |
| 2021 | Rational repricing of risk during COVID?19: Evidence from Indian single stock options market. (2021). Virmani, Vineet ; Varma, Jayanth R ; Agarwalla, Sobhesh Kumar. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1498-1519. Full description at Econpapers || Download paper |
| 2021 | Cost gap, Shapley, or nucleolus allocation: Which is the best game?theoretic remedy for the low?risk anomaly?. (2021). Hiller, Tobias ; Auer, Benjamin R. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:42:y:2021:i:4:p:876-884. 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 | 6 |
| 2008 | Behavior and Effects of Equity Foreign Investors on Emerging Markets In: Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
| 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 | 7 |
| 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: 7 | 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 | 4 |
| 2019 | Expected currency returns and volatility risk premia.(2019) In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2017 | Volatility Risk Premia and Future Commodity Returns In: Working Papers Series. [Full Text][Citation analysis] | paper | 10 |
| 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: 10 | article | |
| 2017 | Risco, Dívida e Alavancagem Soberana In: Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
| 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 | 4 |
| 2019 | Implied volatility term structure and exchange rate predictability.(2019) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2019 | Bank Competition, Cost of Credit and Economic Activity: evidence from Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 5 |
| 2020 | Informational Switching Costs, Bank Competition and the Cost of Finance In: Working Papers Series. [Full Text][Citation analysis] | paper | 5 |
| 2020 | Informational Switching Costs, Bank Competition and the Cost of Finance.(2020) In: IDB Publications (Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2021 | Credit Allocation When Private Banks Distribute Government Loans In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
| 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 | 5 |
| 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 | 2 |
| 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 |
| 2010 | Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposal In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2006 | Goodness-of-?t 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 | 2 |
| 2019 | Locking-in Firms : Loan Conditions in the Presence of Government-Driven Credit In: Policy Research Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Yes, the choice of performance measure does matter for ranking of us mutual funds In: International Journal of Finance & Economics. [Citation analysis] | article | 16 |
| 2021 | Short?selling costs and asymmetric price response to economic shocks: A transaction cost explanation to price overshooting In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team