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Assessing the forecast ability of risk-neutral densities and real-world densities from emerging markets currencies

Ornelas, José Renato Haas - 2014

Persistent link: https://www.econbiz.de/10010471926

The forecast ability of option-implied densities from emerging markets currencies

Ornelas, José Renato Haas - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 133-153

Persistent link: https://www.econbiz.de/10011538981

Expected currency returns and volatility risk premia

Ornelas, José Renato Haas - In: The North American journal of economics and finance : a … 49 (2019), pp. 206-234

Persistent link: https://www.econbiz.de/10012269179

Testing the liquidity preference hypothesis using survey forecasts

Ornelas, José Renato Haas; Silva Júnior, Antônio … - 2014

Persistent link: https://www.econbiz.de/10010408294

Testing the liquidity preference hypothesis using survey forecasts

Ornelas, José Renato Haas; Silva Júnior, Antônio … - In: Emerging markets review 23 (2015), pp. 173-185

Persistent link: https://www.econbiz.de/10011304139

Commodity return predictability : evidence from implied variance, skewness and their risk premia and their risk premia

Finta, Marinela Adriana; Ornelas, José Renato Haas - 2018

Persistent link: https://www.econbiz.de/10011946504

Commodity Return Predictability : Evidence from Implied Variance, Skewness and their Risk Premia

Finta, Marinela Adriana - 2019

This paper investigates the role of realized and implied and their risk premia (variance and skewness) for commodities' future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking measures. Risk premia are computed as the...

Persistent link: https://www.econbiz.de/10012899872

Implied volatility term structure and exchange rate predictability

Ornelas, José Renato Haas; Mauad, Roberto Baltieri - 2019

Persistent link: https://www.econbiz.de/10012010412

Implied volatility term structure and exchange rate predictability

Ornelas, José Renato Haas; Mauad, Roberto Baltieri - In: International journal of forecasting 35 (2019) 4, pp. 1800-1813

Persistent link: https://www.econbiz.de/10012305531

Commodity return predictability : evidence from implied variance, skewness, and their risk premia

Finta, Marinela Adriana; Ornelas, José Renato Haas - In: Journal of international financial markets, … 79 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013358775