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Goodness-of-fit versus significance: A CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies 5 (2017) 4, pp. 1-21

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian...

Persistent link: https://www.econbiz.de/10011996066

Assessing Brazilian electric power transmission auctions

Silva, Washington Martins; Candido, Osvaldo - In: Journal of Economic Studies 47 (2020) 1, pp. 182-199

Purpose: This paper aims to assess all the Brazilian electric power transmission line auctions occurred between 1999 and 2017. Design/methodology/approach: A copula-based Roy/endogenous switching regression model is used. The suitability of this model is twofold: it takes into account the...

Persistent link: https://www.econbiz.de/10012186602

Accuracy of policy function approximations for strongly concave recursive problems

Maldonado, Wilfredo L.; Candido, Osvaldo; Pereira, Luis … - In: International Journal of Economic Theory 15 (2018) 3, pp. 249-267

Persistent link: https://www.econbiz.de/10012090819

Regularization methods for estimating a multi-factor corporate bond pricing model : an application for Brazil

Guimarães, Paulo Roberto Fonteles; Candido, Osvaldo; … - In: Annals of financial economics 16 (2021) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012650868

Private or public enterprises?: cost inefficiency limits : an application to water supply companies in Brazil

Candido, Osvaldo; Maldonado, Wilfredo Leiva; Araújo, … - 2021

Persistent link: https://www.econbiz.de/10012647916

Avaliação da curva de juros empregando extensões do modelo de Diebold e & Li com três fatores

Neto, Alberto Ronchi; Candido, Osvaldo - In: Revista Brasileira de Finanças : RBFin 13 (2015) 2, pp. 251-287

Persistent link: https://www.econbiz.de/10011585595

Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model

Salgado, Daniel Henrique; Candido, Osvaldo - In: Journal of risk 21 (2018/2019) 2, pp. 37-62

Persistent link: https://www.econbiz.de/10011981418

Dynamic D-vine copula model with applications to Value-at-Risk (VaR)

Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: Journal of time series econometrics 11 (2019) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012022874

Backtesting para o expected shortfall do trading book : uma avaliação das metodologias

Castro, Leonardo Nascimento; Candido, Osvaldo - In: Revista Brasileira de Finanças : RBFin 16 (2018) 1, pp. 123-155

Persistent link: https://www.econbiz.de/10012122619

Inflation, interest rate and output gap in the US economy : a vine copula modeling

Candido, Osvaldo; Divino, José Angelo - In: Journal of economic studies 44 (2017) 3, pp. 412-430

Persistent link: https://www.econbiz.de/10011757542