Daniel O. Cajueiro

Universidade de Brasília (UnB)

Campus Universitário Darcy Ribeiro

Asa Norte

Brasília, Distrito Federal 70910-900

Brazil

SCHOLARLY PAPERS

5

DOWNLOADS

606

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Volatility Estimation and Option Pricing with Fractional Brownian Motion

Number of pages: 22 Posted: 06 Nov 2005
Daniel O. Cajueiro and José Fajardo
Universidade de Brasília (UnB) and Getulio Vargas Foundation
Downloads 446 (79,100)
Citation 1

Abstract:

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Fractional Brownian Motion, Derivative Pricing, Hurst exponent

2.

Inflation, Unemployment, and the Time Consistency of the US Monetary Policy

Number of pages: 16 Posted: 30 Oct 2008
Adolfo Sachsida, Jose Angelo Divino and Daniel O. Cajueiro
Institute for Applied Economic Research (IPEA), Catholic University of Brasilia and Universidade de Brasília (UnB)
Downloads 112 (295,065)
Citation 1

Abstract:

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Time consistency, Unemployment, Inflation

Won't Get Fooled Again: A Supervised Machine Learning Approach for Screening Gasoline Cartels

CESifo Working Paper Series No. 8835, 2021
Number of pages: 51 Posted: 02 Mar 2021
Federal University of Juiz de Fora, Universidade Federal de Juiz de Fora - Department of Economics, Universidade Federal do Rio de Janeiro (UFRJ) and Universidade de Brasília (UnB)
Downloads 28 (585,541)

Abstract:

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cartel screens, price dynamics, fuel retail market, machine learning.

Won't Get Fooled Again: A Supervised Machine Learning Approach for Screening Gasoline Cartels

CESifo Working Paper No. 8835
Number of pages: 51 Posted: 26 Jan 2021
Federal University of Juiz de Fora, Universidade Federal de Juiz de Fora - Department of Economics, Universidade Federal do Rio de Janeiro (UFRJ) and Universidade de Brasília (UnB)
Downloads 20 (642,643)

Abstract:

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4.

Long-Range Dependence in Exchange Rates: The Case of the European Monetary System

International Journal of Theoretical and Applied Finance, Vol. 11, Issue 2, pp. 199-223, 2008
Posted: 30 Nov 2009
Sergio Souza, Benjamin M. Tabak and Daniel O. Cajueiro
Government of the Federative Republic of Brazil - Central Bank of Brazil, FGV/EPPG and Universidade de Brasília (UnB)

Abstract:

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Long memory, exchange rates, R/S analysis, financial crisis

5.

Testing for Predictability in Equity Returns for European Transition Markets

Economic Systems, Vol. 30, No. 1, pp. 56-78, March 2006
Posted: 11 Apr 2006
Benjamin M. Tabak and Daniel O. Cajueiro
FGV/EPPG and Universidade de Brasília (UnB)

Abstract:

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European transition economies, Hurst exponents, Long memory, Predictability, Variance ratio, Multifractality