IDEAS home Printed from https://ideas.repec.org/f/pde868.html
   My authors  Follow this author

Thiago de Oliveira Souza

Personal Details

First Name:Thiago
Middle Name:
Last Name:de Oliveira Souza
Suffix:
RePEc Short-ID:pde868
[This author has chosen not to make the email address public]
https://sites.google.com/site/tdosthiago/home

Affiliation

Nordea Bank Abp, Risk and Pricing Model Validation

http://www.nordea.com
Helsinki

Research output

as
Jump to: Working papers Articles

Working papers

  1. de Oliveira Souza, Thiago, 2024. "Model risk pricing and hedging," MPRA Paper 121827, University Library of Munich, Germany.
  2. de Oliveira Souza, Thiago, 2020. "Externalities, incentives, government failure, and the Coronavirus outbreak," Discussion Papers on Economics 12/2020, University of Southern Denmark, Department of Economics.
  3. de Oliveira Souza, Thiago, 2020. "Observable implications of the conditional CAPM," Discussion Papers on Economics 13/2020, University of Southern Denmark, Department of Economics.
  4. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
  5. de Oliveira Souza, Thiago, 2020. "The X-value factor," Discussion Papers on Economics 2/2020, University of Southern Denmark, Department of Economics.
  6. de Oliveira Souza, Thiago, 2020. "Two out-of-sample forecasting models of the equity premium," Discussion Papers on Economics 11/2020, University of Southern Denmark, Department of Economics.
  7. de Oliveira Souza, Thiago, 2019. "Macro-finance and factor timing: Time-varying factor risk and price of risk premiums," Discussion Papers on Economics 7/2019, University of Southern Denmark, Department of Economics.
  8. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
  9. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
  10. Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers on Economics 3/2018, University of Southern Denmark, Department of Economics.
  11. de Oliveira Souza, Thiago, 2018. "Red tape asset pricing," Discussion Papers on Economics 8/2018, University of Southern Denmark, Department of Economics.
  12. de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers on Economics 3/2016, University of Southern Denmark, Department of Economics.
  13. Thiago De Oliveira Souza, 2013. "Discount Rates, Market Frictions and the Mystery of the Size Premium," Working Papers ECARES ECARES 2013-43, ULB -- Universite Libre de Bruxelles.
  14. Thiago De Oliveira Souza, 2011. "Forecasting Investment-Grade Credit-Spreads. A Regularized Approach," Working Papers ECARES ECARES 2011-037, ULB -- Universite Libre de Bruxelles.
  15. Thiago de Oliveira Souza, 2010. "Strategic Asset Allocation with Heterogeneous Beliefs," Working Papers ECARES ECARES 2010-042, ULB -- Universite Libre de Bruxelles.

Articles

  1. Thiago de Oliveira Souza, 2022. "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios," Critical Finance Review, now publishers, vol. 11(2), pages 361-373, May.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. de Oliveira Souza, Thiago, 2020. "Externalities, incentives, government failure, and the Coronavirus outbreak," Discussion Papers on Economics 12/2020, University of Southern Denmark, Department of Economics.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Health > Distancing and Lockdown > Voluntary

Working papers

  1. de Oliveira Souza, Thiago, 2019. "Macro-finance and factor timing: Time-varying factor risk and price of risk premiums," Discussion Papers on Economics 7/2019, University of Southern Denmark, Department of Economics.

    Cited by:

    1. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
    2. sonia KOUKI, 2019. "Analysis of Risk Premium Behavior in the Tunisian Foreign Exchange Market During Crisis Period," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 10(2), pages 28-38, December.

  2. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.

    Cited by:

    1. de Oliveira Souza, Thiago, 2020. "Two out-of-sample forecasting models of the equity premium," Discussion Papers on Economics 11/2020, University of Southern Denmark, Department of Economics.

  3. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.

    Cited by:

    1. de Oliveira Souza, Thiago, 2020. "Observable implications of the conditional CAPM," Discussion Papers on Economics 13/2020, University of Southern Denmark, Department of Economics.
    2. de Oliveira Souza, Thiago, 2020. "Two out-of-sample forecasting models of the equity premium," Discussion Papers on Economics 11/2020, University of Southern Denmark, Department of Economics.

  4. Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers on Economics 3/2018, University of Southern Denmark, Department of Economics.

    Cited by:

    1. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.

  5. de Oliveira Souza, Thiago, 2018. "Red tape asset pricing," Discussion Papers on Economics 8/2018, University of Southern Denmark, Department of Economics.

    Cited by:

    1. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.

  6. Thiago De Oliveira Souza, 2013. "Discount Rates, Market Frictions and the Mystery of the Size Premium," Working Papers ECARES ECARES 2013-43, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.

Articles

    Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-UPT: Utility Models and Prospect Theory (4) 2018-12-17 2019-03-11 2019-05-27 2019-07-08
  2. NEP-FMK: Financial Markets (3) 2019-03-11 2019-05-27 2020-11-30
  3. NEP-ORE: Operations Research (3) 2020-11-16 2020-11-16 2020-11-30
  4. NEP-RMG: Risk Management (3) 2018-04-30 2019-03-11 2019-07-08
  5. NEP-FOR: Forecasting (2) 2011-12-13 2020-11-16
  6. NEP-MAC: Macroeconomics (2) 2018-12-17 2020-11-16
  7. NEP-HEA: Health Economics (1) 2020-11-30

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Thiago de Oliveira Souza should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.