Current WP

Working Papers

1) What Events Matter For Exchange Rate Volatility ? (with Hedibert Lopes, Submitted)

2) Dynamic copula models with variable selection (with Hedibert Lopes, Draft available upon request)

3) Forecasting using DFM: A sparse principal components approach (with Marcio Laurini)

Work in Progress

1) Currency Carry Under Falling Stars (with Mohammed M. Kaebi)

2) Firm Characteristics and Stock Returns in Brazil (with R. Ribeiro, J. Costa, M. M. Kaebi and T. Nobrega)