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Jose Renato Haas Ornelas

Personal Details

First Name:Jose
Middle Name:Renato Haas
Last Name:Ornelas
Suffix:
RePEc Short-ID:por69
[This author has chosen not to make the email address public]
http://www.joseornelas.com
Terminal Degree:2007 Università Commerciale Luigi Bocconi (from RePEc Genealogy)

Affiliation

(50%) Instituto Brasileiro de Ensino, Desenvolvimento e Pesquisa (IDP)

Brasília, Brazil
https://www.idp.edu.br/
RePEc:edi:idpbrbr (more details at EDIRC)

(50%) Banco Central do Brasil

Brasília, Brazil
http://www.bcb.gov.br/
RePEc:edi:bcbgvbr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Lucas A. Mariani & Jose Renato Haas Ornelas & Bernardo Ricca, 2023. "Banks’ Physical Footprint and Financial Technology Adoption," Working Papers Series 576, Central Bank of Brazil, Research Department.
  2. Rodrigo Barbone Gonzalez & José Renato Haas Ornelas & Thiago Christiano Silva, 2023. "The Value of Clean Water: evidence from an environmental disaster," Working Papers Series 583, Central Bank of Brazil, Research Department.
  3. Gustavo Joaquim & Felipe Netto & José Renato Haas Ornelas, 2022. "Government Banks and Interventions in Credit Markets," Working Papers 22-20, Federal Reserve Bank of Boston.
  4. Jose Renato Haas Ornelas & Alexandre Reggi Pecora, 2022. "Does Fintech Lending Lower Financing Costs? Evidence From An Emerging Market," Working Papers Series 571, Central Bank of Brazil, Research Department.
  5. José Renato Haas Ornelas & Alvaro Pedraza & Claudia Ruiz-Ortega & Thiago Christiano Silva, 2021. "Credit Allocation When Private Banks Distribute Government Loans," Working Papers Series 548, Central Bank of Brazil, Research Department.
  6. José Renato Haas Ornelas & Marcos Soares da Silva & Bernardus Ferdinandus Nazar Van Doornik, 2020. "Informational Switching Costs, Bank Competition and the Cost of Finance," Working Papers Series 512, Central Bank of Brazil, Research Department.
  7. Gustavo Joaquim & Bernardus Van Doornik & José Renato Ornelas, 2019. "Bank Competition, Cost of Credit and Economic Activity: evidence from Brazil," Working Papers Series 508, Central Bank of Brazil, Research Department.
  8. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2019. "Implied Volatility Term Structure and Exchange Rate Predictability," Working Papers Series 492, Central Bank of Brazil, Research Department.
  9. Haas Ornelas,Jose Renato & Pedraza Morales,Alvaro Enrique & Ruiz Ortega,Claudia & Silva,Thiago, 2019. "Winners and Losers When Private Banks Distribute Government Loans : Evidence from Earmarked Credit in Brazil," Policy Research Working Paper Series 8952, The World Bank.
  10. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
  11. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility risk premia and future commodities returns," BIS Working Papers 619, Bank for International Settlements.
  12. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
  13. José Renato Haas Ornelas, 2017. "Risco, Dívida e Alavancagem Soberana," Working Papers Series 457, Central Bank of Brazil, Research Department.
  14. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
  15. José Renato Haas Ornelas & Pablo José Campos de Carvalho, 2015. "The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks," Working Papers Series 383, Central Bank of Brazil, Research Department.
  16. José Renato Haas Ornelas, 2014. "Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies," Working Papers Series 370, Central Bank of Brazil, Research Department.
  17. Jose Renato Haas Ornelas & Antonio Francisco de Almeida Silva Jr, 2014. "Testing the Liquidity Preference Hypothesis using Survey Forecasts," Working Papers Series 353, Central Bank of Brazil, Research Department.
  18. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
  19. Barbara Alemanni & José Renato Haas Ornelas, 2008. "Behavior and Effects of Equity Foreign Investors on Emerging Markets," Working Papers Series 159, Central Bank of Brazil, Research Department.
  20. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
  21. Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers flwp_70, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  22. Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  23. Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.

Articles

  1. Ornelas, José Renato Haas & da Silva, Marcos Soares & Van Doornik, Bernardus Ferdinandus Nazar, 2022. "Informational switching costs, bank competition, and the cost of finance," Journal of Banking & Finance, Elsevier, vol. 138(C).
  2. Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  3. José Renato Haas Ornelas & Pablo José Campos de Carvalho, 2021. "Short‐selling costs and asymmetric price response to economic shocks: A transaction cost explanation to price overshooting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1745-1772, April.
  4. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Volatility risk premia and future commodity returns," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
  5. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Implied volatility term structure and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1800-1813.
  6. Haas Ornelas, José Renato, 2019. "Expected currency returns and volatility risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 206-234.
  7. Ornelas, José Renato Haas, 2016. "The Forecast Ability of Option-implied Densities from Emerging Markets Currencies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.
  8. Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015. "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, vol. 23(C), pages 173-185.
  9. José Renato Haas Ornelas & Antônio Francisco Silva Júnior & José Luiz Barros Fernandes, 2012. "Yes, the choice of performance measure does matter for ranking of us mutual funds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 61-72, January.
  10. Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012. "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.
  11. José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011. "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 9-26.
  12. Fernandes, José Luiz Barros & Ornelas, José Renato Haas, 2009. "Minimising operational risk in portfolio allocation decisions," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 2(4), pages 438-450, September.
  13. José Santiago Fajardo Barbachan & Aquiles Rocha de Farias & José Renato Haas Ornelas, 2008. "A Goodness-of-Fit Test with Focus on Conditional Value at Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 6(2), pages 139-155.
  14. Barbachan, José Santiago Fajardo & Ornelas, José Renato Haas & de Farias, Aquiles Rocha, 2006. "Goodness-of-fit Tests Focus on Value-at-Risk Estimation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.

Chapters

  1. José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84, Bank for International Settlements.
  2. José Luiz Barros Fernandes & José Renato Haas Ornelas, 2010. "Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposal," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 6, pages 112-133, Palgrave Macmillan.

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. José Renato Haas Ornelas & Alvaro Pedraza & Claudia Ruiz-Ortega & Thiago Christiano Silva, 2021. "Credit Allocation When Private Banks Distribute Government Loans," Working Papers Series 548, Central Bank of Brazil, Research Department.

    Cited by:

    1. Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Solange Maria Guerra, 2021. "COVID-19 and Local Market Power in Credit Markets," Working Papers Series 558, Central Bank of Brazil, Research Department.

  2. José Renato Haas Ornelas & Marcos Soares da Silva & Bernardus Ferdinandus Nazar Van Doornik, 2020. "Informational Switching Costs, Bank Competition and the Cost of Finance," Working Papers Series 512, Central Bank of Brazil, Research Department.

    Cited by:

    1. Dimas Mateus Fazio & Thiago Christiano Silva, 2022. "Creditor Rights and Bank Competition," Working Papers Series 569, Central Bank of Brazil, Research Department.
    2. Baah A. Kusi & Elikplimi K. Agbloyor & Agyapomaa Gyeke-Dako & Simplice A. Asongu, 2020. "Financial Sector Transparency, Financial Crises and Market Power: A Cross-Country Evidence," Research Africa Network Working Papers 20/087, Research Africa Network (RAN).
    3. Patrick Behr & Lars Norden & Raquel Oliveira, 2020. "Labor and Finance: the effect of bank relationships," Working Papers Series 534, Central Bank of Brazil, Research Department.
    4. Cesar E. Tamayo & Jose E. Gomez-Gonzalez & Oscar M. Valencia, 2019. "Bank Market Power and Firm Finance: Evidence from Bank and Loan Level Data," Documentos de Trabajo CIEF 17404, Universidad EAFIT.
    5. Tian, Guangning & Li, Bo & Cheng, Yue, 2022. "Bank competition and corporate financial asset holdings," International Review of Financial Analysis, Elsevier, vol. 84(C).
    6. José Renato Haas Ornelas & Alvaro Pedraza & Claudia Ruiz-Ortega & Thiago Christiano Silva, 2021. "Credit Allocation When Private Banks Distribute Government Loans," Working Papers Series 548, Central Bank of Brazil, Research Department.

  3. Gustavo Joaquim & Bernardus Van Doornik & José Renato Ornelas, 2019. "Bank Competition, Cost of Credit and Economic Activity: evidence from Brazil," Working Papers Series 508, Central Bank of Brazil, Research Department.

    Cited by:

    1. Silva, Thiago & Souza, Sérgio & Guerra, Solange & Tabak, Benjamin, 2022. "Decentralized Market Power in Credit Markets," MPRA Paper 114766, University Library of Munich, Germany.
    2. Thiago Trafane Oliveira Santos, 2021. "High Lending Interest Rates in Brazil: cost or concentration?," Working Papers Series 550, Central Bank of Brazil, Research Department.
    3. Patrick Behr & Lars Norden & Raquel Oliveira, 2020. "Labor and Finance: the effect of bank relationships," Working Papers Series 534, Central Bank of Brazil, Research Department.
    4. José Renato Haas Ornelas & Marcos Soares da Silva & Bernardus F Nazar Van Doornik, 2022. "Informational switching costs, bank competition, and the cost of finance," BIS Working Papers 990, Bank for International Settlements.
    5. Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Solange Maria Guerra, 2021. "COVID-19 and Local Market Power in Credit Markets," Working Papers Series 558, Central Bank of Brazil, Research Department.
    6. Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Solange Maria Guerra, 2022. "Covid-19 and market power in local credit markets: the role of digitalization," BIS Working Papers 1017, Bank for International Settlements.

  4. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2019. "Implied Volatility Term Structure and Exchange Rate Predictability," Working Papers Series 492, Central Bank of Brazil, Research Department.

    Cited by:

    1. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
    2. Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
    3. Adam Clements & Yin Liao & Yusui Tang, 2022. "Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 86-99, January.
    4. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "CaninformationonthedistributionofZARreturnsbeusedtoimproveSARBsZARforecasts," Working Papers 11035, South African Reserve Bank.
    5. Zuzana Rowland & George Lazaroiu & Ivana Podhorská, 2020. "Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate," Risks, MDPI, vol. 9(1), pages 1-21, December.
    6. Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2021. "Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1498-1519, October.

  5. Haas Ornelas,Jose Renato & Pedraza Morales,Alvaro Enrique & Ruiz Ortega,Claudia & Silva,Thiago, 2019. "Winners and Losers When Private Banks Distribute Government Loans : Evidence from Earmarked Credit in Brazil," Policy Research Working Paper Series 8952, The World Bank.

    Cited by:

    1. Demirgüç-Kunt, Asli & Pedraza, Alvaro & Ruiz-Ortega, Claudia, 2021. "Banking sector performance during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 133(C).

  6. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility risk premia and future commodities returns," BIS Working Papers 619, Bank for International Settlements.

    Cited by:

    1. Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
    2. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
    3. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
    4. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Implied volatility term structure and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1800-1813.
    5. Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    6. Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2021. "Cross-stock market spillovers through variance risk premiums and equity flows," Journal of International Money and Finance, Elsevier, vol. 119(C).
    7. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
    8. Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).

  7. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.

    Cited by:

    1. Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
    2. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
    3. Wensheng Kang & Ronald A Ratti Bd & Joaquin Vespignani, 2020. "Revising the Impact of Global Commodity Prices and Global Stock Market Volatility Shocks: Effects across Countries," Working Papers hal-03071532, HAL.
    4. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
    5. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Implied volatility term structure and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1800-1813.
    6. Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
    7. Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    8. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 2020. "Global commodity prices and global stock market volatility shocks: Effects across countries," Journal of Asian Economics, Elsevier, vol. 71(C).
    9. Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2021. "Cross-stock market spillovers through variance risk premiums and equity flows," Journal of International Money and Finance, Elsevier, vol. 119(C).
    10. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
    11. Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).

  8. José Renato Haas Ornelas, 2017. "Risco, Dívida e Alavancagem Soberana," Working Papers Series 457, Central Bank of Brazil, Research Department.

    Cited by:

    1. Souza, Rodrigo da Silva & Fry-McKibbin, Renée, 2021. "Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 781-800.
    2. Rodrigo da Silva Souza & Leonardo B. de Mattos & João E. de Lima, 2021. "Commodity prices and the Brazilian real exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3152-3172, April.
    3. Renée Fry-McKibbin & Rodrigo da Silva Souza, 2018. "Chinese resource demand or commodity price shocks: Macroeconomic effects for an emerging market economy," CAMA Working Papers 2018-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

  9. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.

    Cited by:

    1. Álvaro Chamizo & Alfonso Novales, 2019. "Looking through systemic credit risk: determinants, stress testing and market value," Documentos de Trabajo del ICAE 2019-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
    3. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Implied volatility term structure and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1800-1813.
    4. Jaqueline Terra Moura Marins, 2020. "Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets," Working Papers Series 515, Central Bank of Brazil, Research Department.
    5. Alfonso Novales & Alvaro Chamizo, 2019. "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, vol. 12(3), pages 1-33, August.
    6. Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
    7. Gordon Schulze, 2021. "Carry Trade Returns and Segmented Risk Pricing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 49(1), pages 23-40, March.
    8. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
    9. Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    10. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility risk premia and future commodities returns," BIS Working Papers 619, Bank for International Settlements.

  10. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.

    Cited by:

    1. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
    2. Waldyr Areosa & Marta Areosa, 2012. "Information (in) Chains: information transmission through production chains," Working Papers Series 286, Central Bank of Brazil, Research Department.
    3. José Renato Haas Ornelas, 2014. "Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies," Working Papers Series 370, Central Bank of Brazil, Research Department.
    4. Cavalcanti, T. & Iyer, S. & Rauh, C. & Roerig, C. & Vaziri, M., 2022. "A City of God: Afterlife Beliefs and Job Support in Brazil," Cambridge Working Papers in Economics 2268, Faculty of Economics, University of Cambridge.
    5. Tiago Cavalcanti & Bruno Martins & Cezar Santos & Joseph Kaboski, 2019. "Dispersion in Financing Costs and Development," 2019 Meeting Papers 1576, Society for Economic Dynamics.
    6. Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva, 2015. "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Working Papers, Department of Economics 2015_08, University of São Paulo (FEA-USP).
    7. Angelo Marsiglia Fasolo, 2012. "A Note on Particle Filters Applied to DSGE Models," Working Papers Series 281, Central Bank of Brazil, Research Department.
    8. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    9. Ornelas, José Renato Haas, 2016. "The Forecast Ability of Option-implied Densities from Emerging Markets Currencies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.
    10. Bruno Martins, 2012. "Local Market Structure and Bank Competition: evidence from the Brazilian auto loan market," Working Papers Series 299, Central Bank of Brazil, Research Department.
    11. Etelvina Stefani Chavez & Gastón Milanesi & Gabriela Pesce, 2021. "Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-23, Enero - M.

  11. Barbara Alemanni & José Renato Haas Ornelas, 2008. "Behavior and Effects of Equity Foreign Investors on Emerging Markets," Working Papers Series 159, Central Bank of Brazil, Research Department.

    Cited by:

    1. Gonçalves, Walter & Eid, William, 2017. "Sophistication and price impact of foreign investors in the Brazilian stock market," Emerging Markets Review, Elsevier, vol. 33(C), pages 102-139.
    2. Jagric, Timotej & Markovic-Hribernik, Tanja & Strasek, Sebastjan & Jagric, Vita, 2010. "The power of market mood -- Evidence from an emerging market," Economic Modelling, Elsevier, vol. 27(5), pages 959-967, September.
    3. Charilaos Mertzanis & Noha Allam, 2018. "Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 29-59, April.

  12. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.

    Cited by:

    1. Emmanuel Frot & Javier Santiso, 2011. "Herding in Aid Allocation," Kyklos, Wiley Blackwell, vol. 64(1), pages 54-74, February.
    2. Charilaos Mertzanis & Noha Allam, 2018. "Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 29-59, April.
    3. M.V. Lakshman & Sankarshan Basu & R. Vaidyanathan, 2013. "Market-wide Herding and the Impact of Institutional Investors in the Indian Capital Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(2), pages 197-237, August.

  13. Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers flwp_70, Finance Lab, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Fajardo, José, 2019. "Bitcoin's return behaviour: What do We know so far?," MPRA Paper 93353, University Library of Munich, Germany, revised 16 Apr 2019.

  14. Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    2. Shcherba, Alexandr, 2011. "Comparison of VaR estimation methods for different forecasting samples for Russian stocks," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 58-70.
    3. Gilles Zumbach, 2020. "Tile test for back-testing risk evaluation," Papers 2007.12431, arXiv.org.

  15. Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. José Renato Haas Ornelas, 2014. "Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies," Working Papers Series 370, Central Bank of Brazil, Research Department.
    2. José Santiago Fajardo Barbachan & Aquiles Rocha de Farias & José Renato Haas Ornelas, 2008. "A Goodness-of-Fit Test with Focus on Conditional Value at Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 6(2), pages 139-155.
    3. José Fajardo & Aquiles Farias, 2008. "Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation," IBMEC RJ Economics Discussion Papers 2008-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    4. Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers flwp_70, Finance Lab, Insper Instituto de Ensino e Pesquisa.

Articles

  1. Ornelas, José Renato Haas & da Silva, Marcos Soares & Van Doornik, Bernardus Ferdinandus Nazar, 2022. "Informational switching costs, bank competition, and the cost of finance," Journal of Banking & Finance, Elsevier, vol. 138(C).
    See citations under working paper version above.
  2. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Volatility risk premia and future commodity returns," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
    See citations under working paper version above.
  3. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Implied volatility term structure and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1800-1813.
    See citations under working paper version above.
  4. Haas Ornelas, José Renato, 2019. "Expected currency returns and volatility risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 206-234.
    See citations under working paper version above.
  5. Ornelas, José Renato Haas, 2016. "The Forecast Ability of Option-implied Densities from Emerging Markets Currencies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.

    Cited by:

    1. José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2019. "A Volatility Smile-Based Uncertainty Index," Working Papers Series 502, Central Bank of Brazil, Research Department.
    2. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
    3. Jaqueline Terra Moura Marins, 2020. "Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets," Working Papers Series 515, Central Bank of Brazil, Research Department.
    4. Jaqueline Terra Moura Marins, 2024. "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series 588, Central Bank of Brazil, Research Department.

  6. José Renato Haas Ornelas & Antônio Francisco Silva Júnior & José Luiz Barros Fernandes, 2012. "Yes, the choice of performance measure does matter for ranking of us mutual funds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 61-72, January.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
    3. Dombrowski, Niclas & Drobetz, Wolfgang & Momtaz, Paul P., 2023. "Performance measurement of crypto funds," Economics Letters, Elsevier, vol. 228(C).
    4. Benjamin R. Auer & Tobias Hiller, 2021. "Cost gap, Shapley, or nucleolus allocation: Which is the best game‐theoretic remedy for the low‐risk anomaly?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(4), pages 876-884, June.
    5. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    6. Grose, Chris & Dasilas, Apostolos & Alexakis, Christos, 2014. "Performance persistence in fixed interest funds: With an eye on the post-debt crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 155-182.
    7. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
    8. H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
    9. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
    10. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
    11. Abdelbari El Khamlichi & Kamel Laaradh & Mohamed Arouri & Frédéric Teulon, 2014. "Performance Persistence of Islamic Equity Mutual Funds," Working Papers 2014-115, Department of Research, Ipag Business School.
    12. Jin Yuan & Xianghui Yuan, 2023. "A Comprehensive Method for Ranking Mutual Fund Performance," SAGE Open, , vol. 13(2), pages 21582440231, May.
    13. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
    14. Cunha, Felipe Arias Fogliano de Souza & Meira, Erick & Orsato, Renato J. & Klotzle, Marcelo Cabus & Lucena, André F.P., 2021. "Do low-carbon investments in emerging economies pay off? Evidence from the Brazilian stock market," International Review of Financial Analysis, Elsevier, vol. 74(C).
    15. Kim, Sangbae & In, Francis, 2012. "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2083-2094.
    16. Korn, Olaf & Möller, Philipp M. & Schwehm, Christian, 2019. "Drawdown measures: Are they all the same?," CFR Working Papers 19-04, University of Cologne, Centre for Financial Research (CFR).
    17. Baur, Dirk G. & Dichtl, Hubert & Drobetz, Wolfgang & Wendt, Viktoria-Sophie, 2020. "Investing in gold – Market timing or buy-and-hold?," International Review of Financial Analysis, Elsevier, vol. 71(C).
    18. Monika Mościbrodzka, 2021. "Alternative investment funds – the evaluation of managers’ abilities in the light of the amendments to the Act on Investment Fund," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 517-544.
    19. Benedikt Hoechner & Peter Reichling & Gordon Schulze, 2015. "Pitfalls of downside performance measures with arbitrary targets," FEMM Working Papers 150018, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    20. Łukasz Dopierała & Magdalena Mosionek-Schweda & Daria Ilczuk, 2020. "Does the Asset Allocation Policy Affect the Performance of Climate-Themed Funds? Empirical Evidence from the Scandinavian Mutual Funds Market," Sustainability, MDPI, vol. 12(2), pages 1-23, January.

  7. Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012. "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.

    Cited by:

    1. Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017. "The dynamic Black–Litterman approach to asset allocation," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1085-1096.
    2. I-Chen Lu & Kai-Hong Tee & Baibing Li, 2019. "Asset allocation with multiple analysts’ views: a robust approach," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 215-228, May.
    3. Barua, Ronil & Sharma, Anil K., 2022. "Dynamic Black Litterman portfolios with views derived via CNN-BiLSTM predictions," Finance Research Letters, Elsevier, vol. 49(C).
    4. Zhang, Zhichao & Chau, Frankie & Xie, Li, 2012. "Strategic Asset Allocation for Central Bank’s Management of Foreign Reserves: A new approach," MPRA Paper 43654, University Library of Munich, Germany.
    5. Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2023. "Randomized Signature Methods in Optimal Portfolio Selection," Papers 2312.16448, arXiv.org.

Chapters

  1. José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84, Bank for International Settlements.
    See citations under working paper version above.
  2. José Luiz Barros Fernandes & José Renato Haas Ornelas, 2010. "Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposal," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 6, pages 112-133, Palgrave Macmillan.

    Cited by:

    1. Jukka Pihlman & Han van der Hoorn, 2010. "Procyclicality in Central Bank Reserve Management: Evidence from the Crisis," IMF Working Papers 2010/150, International Monetary Fund.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

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 20 papers 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-RMG: Risk Management (6) 2003-10-20 2003-10-20 2017-04-16 2017-04-30 2018-08-20 2019-03-18. Author is listed
  2. NEP-BAN: Banking (5) 2019-11-04 2021-05-03 2022-12-19 2023-01-23 2023-05-01. Author is listed
  3. NEP-COM: Industrial Competition (3) 2019-11-04 2020-02-03 2022-03-07
  4. NEP-FDG: Financial Development & Growth (3) 2022-12-19 2023-01-23 2023-05-01
  5. NEP-FMK: Financial Markets (3) 2017-01-29 2017-04-16 2017-04-30
  6. NEP-FOR: Forecasting (3) 2012-04-03 2012-06-05 2014-12-29
  7. NEP-ECM: Econometrics (2) 2003-10-20 2003-10-20
  8. NEP-PAY: Payment Systems & Financial Technology (2) 2022-12-19 2023-05-01
  9. NEP-UPT: Utility Models & Prospect Theory (2) 2017-04-16 2017-04-30
  10. NEP-URE: Urban & Real Estate Economics (2) 2019-11-04 2022-12-19
  11. NEP-AGR: Agricultural Economics (1) 2023-09-11
  12. NEP-CFN: Corporate Finance (1) 2012-04-03
  13. NEP-CWA: Central & Western Asia (1) 2007-06-02
  14. NEP-DEV: Development (1) 2023-09-11
  15. NEP-ENV: Environmental Economics (1) 2023-09-11
  16. NEP-ETS: Econometric Time Series (1) 2003-10-20
  17. NEP-IFN: International Finance (1) 2019-03-18
  18. NEP-IND: Industrial Organization (1) 2022-03-07
  19. NEP-MON: Monetary Economics (1) 2014-09-05
  20. NEP-ORE: Operations Research (1) 2022-03-07

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