Sitemap

A list of all the posts and pages found on the site. For you robots out there is an XML version available for digesting as well.

Pages

Posts

Future Blog Post

less than 1 minute read

Published:

This post will show up by default. To disable scheduling of future posts, edit config.yml and set future: false.

Blog Post number 4

less than 1 minute read

Published:

This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.

Blog Post number 3

less than 1 minute read

Published:

This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.

Blog Post number 2

less than 1 minute read

Published:

This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.

Blog Post number 1

less than 1 minute read

Published:

This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.

portfolio

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)

publications

Stochastic Volatility Models with Skewness Selection

Published in Entropy, 2024

This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to overparameterization. Our proposed approach mitigates this concern by leveraging sparsity-inducing priors to automatically select the skewness parameter as dynamic, static or zero in a data-driven framework.In a bond yield application, dynamic skewness captures interest rate cycles of monetary easing and tightening and is partially explained by central banks’ mandates.

Recommended citation: Martins, Igor, and Hedibert Freitas Lopes. 2024. "Stochastic Volatility Models with Skewness Selection" Entropy 26, no. 2: 142.
Download Paper

talks

teaching

Teaching experience 1

Undergraduate course, University 1, Department, 2014

This is a description of a teaching experience. You can use markdown like any other post.

Teaching experience 2

Workshop, University 1, Department, 2015

This is a description of a teaching experience. You can use markdown like any other post.