Listagem por autor "Tessari, Cristina"

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    • Dois ensaios em finanças 

      Tessari, Cristina
      2016-03-22
      We use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock ...

    • Idiosyncratic moments and the cross-section of stock returns in Brazil 

      Almeida, Caio Ibsen Rodrigues de; Ricca, Bernardo; Tessari, Cristina
      2016-11-01
      This online appendix reports additional robustness checks for our main results. Wepresent a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (expected skewness, realized skewness, ...

    • Option pricing under multiscale stochastic volatility 

      Tessari, Cristina; Almeida, Caio Ibsen Rodrigues de
      2015
      The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...