Alan De Genaro

ORCID:

não disponível no Lattes


Formação:

  • New York University

    | Pós-Doutorado | 2012 - 2012

  • Universidade de São Paulo

    Estatística | Doutorado | 2006 - 2011

  • Universidade de São Paulo

    Economia | Mestrado | 2002 - 2004

  • Universidade de São Paulo

    Ciências Econômicas | Graduação | 1997 - 2002
Laboratórios:
Nenhum laboratório cadastrado
Nuvens de Palavras:
Artigos:

(87.50% artigos com DOI)

Titulo DOI Ano
A Tutorial on the Generalized Method of Moments (GMM) in Finance 10.1590/1982-7849rac2022210287.en 2022
Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark 10.1016/j.jfineco.2021.05.033 2021
Market power and banking regulations: Evidence from RDD application to the Brazilian banking market 10.1016/j.econlet.2021.109821 2021
Detection and analysis of occurrences of spoofing in the Brazilian capital market 10.1108/JFRC-07-2019-0092 2020
Securities Lending and Short Selling 10.7819/rbgn.v22i0.4062 2020
Securities Lending and Short Selling 10.7819/rbgn.v22i0.4062 2020
Does the Lending Rate Impact ETF's Prices? 10.12660/bre.v38n22018.31732 2019
Pricing interest rate derivatives under monetary changes 10.1142/s0219024918500371 2018
Well-connected short-sellers pay lower loan fees: A market-wide analysis 10.1016/j.jfineco.2016.12.011 2017
Estimating ¿hedge and auction¿ liquidation costs in central counterparties: a closeout risk approach 10.21314/JFMI.2017.084 2017
Systematic multi-period stress scenarios with an application to CCP risk management 10.1016/j.jbankfin.2015.12.011 2016
A Monte Carlo multi-asset option pricing approximation for general stochastic processes 10.1016/j.chaos.2016.02.019 2016
Short-sellers: Informed but restricted 10.1016/j.jimonfin.2014.04.001 2014
Estimating doubly stochastic Poisson process with affine intensities by Kalman filter 10.1007/s00362-014-0606-6 2014
Geração de Cenários de Estresse para Curva de Juros 2011
Apreçamento de Ativos Referenciados em volatilidade 2006
Eventos:

(0.00% eventos com DOI)

Titulo DOI Ano
Order Internalization: If You Can't Beat Them, Join Them 2022
Order Internalization: If You Can't Beat Them, Join Them 2022
Market Impact: Evidence from the Brazil stock market 2019
Market Impact: Evidence from the Brazil stock market 2019
Market Impact: Evidence from the Brazil stock market 2019
Why different short-sellers pay different loan fees? A Market-wide analysis. 2016
Well-connected short-sellers pay lower loan fees: a market-wide analysis. 2016
Well-connected short-sellers pay lower loan fees: a market-wide analysis. 2016
False illusion of safety: is a handful of stress scenarios enough? 2016
Short selling and inside information 2014
Testing the Effects of Short-Selling Restrictions on Asset Prices 2013
Testing the Effects of Short-Selling Restrictions on Asset Prices 2013
Testing the Effects of Short-Selling Restrictions on Asset Prices 2013
Testing the Effects of Short-Selling Restrictions on Asset Prices 2013
Short-Selling and Inside Information 2013
Short-sellers: informed but restricted 2013
Mitigating procyclicality in CCPs with stress testing: a hybrid approach 2013
Testing the Effects of Short-Selling Restrictions on Asset Prices 2012
Does the Lending Rate Impact ETF's Prices? 2012
Geração de cenários para a taxa de juros 2009
Pricing volatility derivatives using Heston model 2008
Apreçamento de ativos referenciados em Volatilidade 2006
Asset pricing a monetary open economy with incomplete markets: a general equilibrium approach 2006
Opções com ajuste diário: características e apreçamento 2006
Modelos em tempo contínuo e simulações de Monte Carlo: aplicação à taxa de juros de Curto Prazo 2003
Previsão do Retorno das Ações no Mercado Brasileiro: Uma Comparação entre as estimativas de Modelos de escolha discreta e de Redes Neurais 2000
Publicações:
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