Research

Publications

High-frequency tail risk premium and stock return predictability (with C. Almeida, K. Ardison, R. Garcia and P. Orłowski)
Journal of Financial and Quantitative Analysis 59 (8), 3633-3670, 2024


Nonparametric option pricing with generalized entropic estimators (with C. Almeida, K. Ardison and R. Azevedo)
Online appendix
Journal of Business & Economic Statistics 41 (4), 1173-1187, 2023


Can a machine correct option pricing models? (with C. Almeida, J. Fan and F. Tang)
Journal of Business & Economic Statistics 41 (3), 995-1009, 2023


Pricing of index options in incomplete markets (with C. Almeida)
Online appendix
Journal of Financial Economics 144 (1), 174-205, 2022
Best Paper in Finance Award at the 42nd Meeting of the Brazilian Econometric Society


Tail risk and investors’ concerns: Evidence from Brazil
North American Journal of Economics and Finance 58, 101519, 2021


Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828-1915 (with M. Resende)
Empirical Economics 59 (6), 3063-3084, 2020
Pre-doctoral work

Working Papers

0DTE Asset pricing (with C. Almeida and R. Hizmeri)
Presentations: TwinBeech Capital, University of Amsterdam, Cancun Derivatives and Asset Pricing Conference 2024 (Cancun), TSE Financial Econometrics Conference 2024 (Toulouse), 16th Annual SoFiE Conference (Rio de Janeiro), Liverpool Workshop in Option Markets (Liverpool), 24th Brazilian Finance Meeting (Paraná), Econometric Society Summer Meeting 2024 (Rotterdam), Paris December Finance Meeting 2024 (Paris), MFA 2025 Annual Meeting (Chicago), Barcelona Workshop in Financial Econometrics 2025 (Barcelona), St. Gallen Financial Economics Workshop 2025 (St. Gallen), SMLFin Seminar Series, WFA 2025 Meeting (Snowbird), Lubrafin 2025 (Tomar), 2025 FMA Conference on Derivatives and Volatility (Chicago)

Asymmetric violations of the spanning hypothesis (with R. Riva)
Presentations: COPPEAD-UFRJ, Kellogg School of Management, Fordham University, Erasmus School of Economics, Purdue University, UCSD Rady School of Management, FGV EPGE, PUC-Rio, ESADE Business School, CUNEF Universidad, Miami Herbert Business School, SoFiE European Summer School 2023 (Brussels), 23rd Brazilian Finance Meeting (São Paulo), ESTE 2023 (Florianopolis), 2023 Trends in Macroeconometrics Conference at UIUC, 17th Brunel Conference on Macro and Financial Econometrics, FinEML Seminar Series, Fields-CFI Bootcamp on Machine Learning for Finance 2024 (Toronto), Spring 2024 Midwest Macroeconomics Meeting (Richmond), 6th QFFE Conference (Marseille), 16th Annual SoFiE Conference (Rio de Janeiro), IAAE 2024 Annual Conference (Thessaloniki), Econometric Society Summer Meeting 2024 (Rotterdam)

Autoencoder option pricing models (with E. Vladimirov)
Presentations: FinEML Conference 2023 (Rotterdam), 6th QFFE Conference (Marseille), 16th Annual SoFiE Conference (Rio de Janeiro), IAAE 2024 Annual Conference (Thessaloniki), TU Delft Finance Research Day (Delft)

Demand in the option market and the pricing kernel (with C. Almeida)
Presentations: Erasmus School of Economics, Kellogg School of Management, Nova SBE, 14th Annual SoFiE Conference 2022 (Cambridge), Cancun Derivatives and Asset Pricing Conference 2023 (Cancun), Post-SoFiE Workshop on Frontiers of Financial Econometrics (Seoul), 23rd Brazilian Finance Meeting (São Paulo), EFA 2023 Annual Meeting (Amsterdam), 12th CDI Conference on Derivatives (Montreal), 5th International Workshop in Financial Econometrics (Bahia), 2023 FMA Conference on Derivatives and Volatility (Chicago), Paris December Finance Meeting 2023 (Paris)

Equity option prices and firm characteristics (with O. Kleen)
Presentations: Erasmus School of Economics, Copenhagen Business School, 5th QFFE Conference (Marseille), Post-SoFiE Workshop on Frontiers of Financial Econometrics (Seoul), IAAE 2023 Annual Conference (Oslo), 5th International Workshop in Financial Econometrics (Bahia), 17th Annual SoFiE Conference (Cergy), FinEML Conference 2025 (Rotterdam)

Global news networks and return predictability (with A. Moin, A. Quaini and A. Soebhag)
Presentations: Erasmus School of Economics, Robeco, 6th QFFE Conference (Marseille), IAAE 2025 Annual Conference (Turin), EFA 2025 Annual Meeting (Paris), FinEML Conference 2025 (Rotterdam)

Tail risk and asset prices in the short-term (with C. Almeida, R. Garcia and R. Hizmeri)
Presentations: Erasmus School of Economics, Princeton University, 2nd Annual Workshop – Lucio Sarno Day (Liverpool), Financial Econometrics Conference – Stephen Taylor’s Retirement (Lancaster), 33rd (EC)^2 Conference (Paris), Royal Economic Society 2023 Annual Conference (Glasgow), 5th QFFE Conference (Marseille), IAAE 2023 Annual Conference (Oslo), 23rd Brazilian Finance Meeting (Sao Paulo), 2023 Asian Meeting of the Econometric Society (Singapore), EFA 2023 Annual Meeting (Amsterdam), STAT of ML 2023 (Prague), 5th International Workshop in Financial Econometrics (Bahia), AFA 2024 Annual Meeting (Texas), MFA 2024 Annual Meeting (Chicago), CIREQ-CMP Econometrics Conference in Honor of Eric Ghysels (Montreal), TSE Financial Econometrics Conference 2024 (Toulouse), 16th Annual SoFiE Conference (Rio de Janeiro), CDI Conference on Derivatives 2025 (Montreal)

Which (nonlinear) factor models? (with C. Almeida)
Presentations: Erasmus School of Economics, Princeton University, University of Geneva, Kellogg School of Management, HEC Montreal, University of Luxembourg, University of St. Andrews, University of Illinois Urbana-Champaign, TSE Financial Econometrics Conference 2023 (Toulouse), Research Workshop on Econometric Advances in Macro and Finance (Rotterdam), 15th Annual SoFiE Conference (Seoul), IAAE 2023 Annual Conference (Oslo), 23rd Brazilian Finance Meeting (Sao Paulo), 5th International Workshop in Financial Econometrics (Bahia), 4th Frontiers of Factor Investing Conference (Lancaster), 2024 NFA Annual Conference (Montreal), AFA 2025 Annual Meeting (San Francisco), EFA 2025 Annual Meeting (Paris)