Hedging the Brazilian stock index in the era of low interest rates: What has changed?

This is our new paper at the Brazilian Review of Finance. We investigate among different asset classes those that perform better on hedging Brazilian equity index. We do this under high and low interest rate regimes of our recent economic environment. Click here.

Stochastic volatility in the oil sector

Working with Laurini (FEA-USP) and Mauad (Brazilian Central Bank) we published a new article modeling stochastic volatility in a multivariate framework. One of the contributions is the estimation of spillover effects between assets through joint jumps (co-jumps). The model is applied to the oil sector and can also be used to investigate any set of correlated time series. It is available at https://authors.elsevier.com/c/1aXW7~fX6B9n~

Working on green finance

The opposite side of publishing papers on oil issues is to be working with green finance. It is a kind of "hedge". It was a pleasure to work with Reboredo and Ugolini on the paper Network connectedness of green bonds and asset classes. Environmental problem is one of the most important topics nowadays in finance. The paper can be found on https://authors.elsevier.com/c/1aP0XW3fci8fC.

Brazilian fuel pricing policy

The paper accepted on APPLIED ECONOMICS is published: 

https://www.tandfonline.com/eprint/ITSB7TPFI7PMKWII3STJ/full?target=10.1080/00036846.2019.1659929
 
"On the Brazilian fuel pricing policy: a Gaussian factor model approach" discusses how to extract volatility from fuel prices in local currency. The recent truck drivers strike due the current pricing policy opened the discussion on how to deal with this issue. Big oil companies know how to survive in a high volatility environment, i.e. hedging their positions with sophisticated financial instruments. However this is not true for truck drivers. We hope to give some light on the discussion of this problem using practical concepts available on finance literature.​

Good news: accepted manuscript

Our paper entitled "Can Gaussian factor models of commodity prices capture the financialization phenomenon?" with Winicius Faquieri, our former student, was accepted by The North American Journal of Economics and Finance. See here.