Följ
Gustavo Fruet Dias
Titel
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År
Estimation and forecasting in vector autoregressive moving average models for rich datasets
GF Dias, G Kapetanios
Journal of Econometrics 202 (1), 75-91, 2018
212018
Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models
GF Dias, G Kapetanios
School of Economics and Management, 2014
182014
Price discovery in a continuous-time setting
GF Dias, M Fernandes, CM Scherrer
Journal of Financial Econometrics 19 (5), 985-1008, 2021
172021
The time-varying GARCH-in-mean model
GF Dias
Economics Letters 157, 129-132, 2017
142017
Volatility discovery
GF Dias, C Scherrer, F Papailias
132016
Forecasting long memory series subject to structural change: A two-stage approach
F Papailias, GF Dias
International Journal of Forecasting 31 (4), 1056-1066, 2015
122015
Price discovery and market microstructure noise
G Dias, M Fernandes, C Scherrer
Working paper, Sao Paulo School of Economics, 2018
42018
Improving on daily measures of price discovery
GF Dias, M Fernandes, CM Scherrer
22017
An econometric analysis of volatility discovery
G Fruet Dias, F Papailias, C Scherrer
Journal of Business & Economic Statistics, 1-12, 2024
2024
Energy Consumption and Production Forecasting Using Artificial Neural Network for Optimal Energy Cost Savings
G Dias, P Fonte, F Barata
2023 3rd International Conference on Electrical, Computer, Communications …, 2023
2023
Integrated Variance Estimation for Assets Traded in Multiple Venues
G Fruet Dias, K Schweikert
Available at SSRN 4253762, 2022
2022
Time-varying price discovery
G Fruet Dias, M Fernandes, CM Scherrer
Available at SSRN 4456630, 2022
2022
Price Discovery and Market Microstructure Noise
G Fruet Dias, M Fernandes, CM Scherrer
Available at SSRN 3864966, 2021
2021
Price discovery in a continuous-time setting
GF Dias, M Fernandes, CM Scherrer
Journal of Financial Econometrics 19 (5), 985-1008, 2021
2021
Price discovery and market microstructure noise
M Fernandes, GF Dias, CM Scherrer
2019
The Nonlinear Iterative Least Squares (NL-ILS) Estimator: An Application to Volatility Models
G Fruet Dias
Available at SSRN 3113159, 2018
2018
The Nonlinear Iterative Least Squares (NL-ILS) Estimator: An Application to Volatility Models
GF Dias
SSRN, 2018
2018
Supplement To'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets'
G Fruet Dias, G Kapetanios
Available at SSRN 2830838, 2017
2017
Volatility Discovery
G Fruet Dias
Volatility Discovery: Fruet Dias, Gustavo, 2017
2017
Component shares in continuous time
GF Dias, M Fernandes, C Scherrer
2016
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Artiklar 1–20