Nonparametric option pricing with generalized entropic estimators (with C. Almeida, K. Ardison and R. Azevedo)
Online appendix
Journal of Business & Economic Statistics, forthcoming

Can a machine correct option pricing models? (with C. Almeida, J. Fan and F. Tang)
Journal of Business & Economic Statistics, forthcoming

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

Demand in the option market and the pricing kernel (with C. Almeida)

Equity options and firm characteristics (with O. Kleen)

Tail risk and asset prices in the short-term (with C. Almeida, R. Garcia and R. Hizmeri)