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)

High-frequency tail risk premium and stock return predictability (with C. Almeida, K. Ardison, R. Garcia and P. Orłowski)

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

Which (nonlinear) factor models? (with C. Almeida)