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Marcelo Carvalho

Personal Details

First Name:Marcelo
Middle Name:
Last Name:Carvalho
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RePEc Short-ID:pca435
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Affiliation

Department of Finance
Stockholm School of Economics

Stockholm, Sweden
http://www.hhs.se/df/
RePEc:edi:dfhhsse (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. MArcelo Carvalho & MArco Aurelio Freire & Marcelo Cunha Medeiros & Leonardo Souza, 2006. "Modeling and forecasting the volatility of Brazilian asset returns," Textos para discussão 530, Department of Economics PUC-Rio (Brazil).

Articles

  1. Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza, 2006. "Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 4(1), pages 55-77.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. MArcelo Carvalho & MArco Aurelio Freire & Marcelo Cunha Medeiros & Leonardo Souza, 2006. "Modeling and forecasting the volatility of Brazilian asset returns," Textos para discussão 530, Department of Economics PUC-Rio (Brazil).

    Cited by:

    1. Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
    2. Naseem Al Rahahleh & Robert Kao, 2018. "Forecasting Volatility: Evidence from the Saudi Stock Market," JRFM, MDPI, vol. 11(4), pages 1-18, November.
    3. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
    4. Wink Junior, Marcos Vinício & Pereira, Pedro Luiz Valls, 2011. "Modeling and Forecasting of Realized Volatility: Evidence from Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(2), December.
    5. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.
    6. Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.

Articles

  1. Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza, 2006. "Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 4(1), pages 55-77.

    Cited by:

    1. Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
    2. Naseem Al Rahahleh & Robert Kao, 2018. "Forecasting Volatility: Evidence from the Saudi Stock Market," JRFM, MDPI, vol. 11(4), pages 1-18, November.
    3. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
    4. Wink Junior, Marcos Vinício & Pereira, Pedro Luiz Valls, 2011. "Modeling and Forecasting of Realized Volatility: Evidence from Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(2), December.
    5. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (1) 2006-12-01
  2. NEP-FOR: Forecasting (1) 2006-12-01
  3. NEP-MST: Market Microstructure (1) 2006-12-01
  4. NEP-RMG: Risk Management (1) 2006-12-01

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