JOSE RENATO HAAS ORNELAS : Citation Profile


Are you JOSE RENATO HAAS ORNELAS?

Banco Central do Brasil

3

H index

1

i10 index

33

Citations

RESEARCH PRODUCTION:

8

Articles

16

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 2
   Journals where JOSE RENATO HAAS ORNELAS has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 10 (23.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/por69
   Updated: 2019-11-16    RAS profile: 2019-07-25    
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Relations with other researchers


Works with:

Mauad, Roberto (4)

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:

SHIM, ILHYOCK (4)

Fajardo, José (2)

Caporin, Massimiliano (2)

Giovannetti, Bruno (1)

LAARADH, Kamel (1)

Xie, Li (1)

de Farias, Aquiles (1)

Chague, Fernando (1)

Harris, Richard (1)

Stoja, Evarist (1)

Santiso, Javier (1)

Cites to:

Tabak, Benjamin (15)

Fajardo, José (14)

de Farias, Aquiles (13)

Rogoff, Kenneth (9)

Bollerslev, Tim (8)

Brunnermeier, Markus (6)

Rossi, Barbara (6)

Campbell, John (6)

Resiandini, Pramesti (5)

Jackwerth, Jens (5)

Christoffersen, Peter (5)

Main data


Where JOSE RENATO HAAS ORNELAS has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics2
Brazilian Review of Finance2

Working Papers Series with more than one paper published# docs
Working Papers Series / Central Bank of Brazil, Research Department11

Recent works citing JOSE RENATO HAAS ORNELAS (2019 and 2018)


YearTitle of citing document
2019A Volatility Smile-Based Uncertainty Index. (2019). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:502.

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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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2017Sophistication 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

2018Performance 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.

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2018Chinese 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.

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2017Variance 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.

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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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2018The 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.

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2019Asset 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

2019Bitcoins return behaviour: What do We know so far?. (2019). Fajardo, Jose. In: MPRA Paper. RePEc:pra:mprapa:93353.

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Works by JOSE RENATO HAAS ORNELAS:


YearTitleTypeCited
2006Herding Behavior by Equity Foreign Investors on Emerging Markets In: Working Papers Series.
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paper1
2008Behavior and Effects of Equity Foreign Investors on Emerging Markets In: Working Papers Series.
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paper2
2012Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options In: Working Papers Series.
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paper6
2012Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options.(2012) In: EBAPE Working Papers.
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This paper has another version. Agregated cites: 6
paper
2014Testing the Liquidity Preference Hypothesis using Survey Forecasts In: Working Papers Series.
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paper0
2015Testing the liquidity preference hypothesis using survey forecasts.(2015) In: Emerging Markets Review.
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This paper has another version. Agregated cites: 0
article
2014Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies In: Working Papers Series.
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paper0
2015The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks In: Working Papers Series.
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paper0
2017Expected Currency Returns and Volatility Risk Premia In: Working Papers Series.
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paper0
2017Volatility Risk Premia and Future Commodity Returns In: Working Papers Series.
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paper2
2019Volatility risk premia and future commodity returns.(2019) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 2
article
2017Risco, Dívida e Alavancagem Soberana In: Working Papers Series.
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paper1
2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia In: Working Papers Series.
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paper0
2019Implied Volatility Term Structure and Exchange Rate Predictability In: Working Papers Series.
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paper0
2011Combining equilibrium, resampling, and analysts views in portfolio optimization In: BIS Papers chapters.
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chapter3
2012Combining equilibrium, resampling, and analyst’s views in portfolio optimization.(2012) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 3
article
2017Volatility risk premia and future commodities returns In: BIS Working Papers.
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paper2
2008A Goodness-of-Fit Test with Focus on Conditional Value at Risk In: Brazilian Review of Finance.
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article0
2011Recovering Risk-Neutral Densities from Brazilian Interest Rate Options In: Brazilian Review of Finance.
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article0
2003Goodness-of-fit Tests focus on VaR Estimation In: Finance Lab Working Papers.
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paper1
2003Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations In: Finance Lab Working Papers.
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paper2
2004Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates In: Finance Lab Working Papers.
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paper1
2006Goodness-of-fit Tests Focus on Value-at-Risk Estimation In: Brazilian Review of Econometrics.
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article0
2016The Forecast Ability of Option-implied Densities from Emerging Markets Currencies In: Brazilian Review of Econometrics.
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article1
2012Yes, the choice of performance measure does matter for ranking of us mutual funds In: International Journal of Finance & Economics.
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article11

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