Details about Leonardo Rocha Souza

Access statistics for papers by Leonardo Rocha Souza.

Last updated 2017-07-07. Update your information in the RePEc Author Service.

Short-id: pso147

Working Papers

2006

1. Modeling and forecasting the volatility of Brazilian asset returns
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (7)

2003

2. A note on Chambers's 'long memory and aggregation in macroeconomic time series'
   FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (8)
   See also Journal Article A NOTE ON CHAMBERS'S "LONG MEMORY AND AGGREGATION IN MACROECONOMIC TIME SERIES", International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2005) View citations (19) (2005)
3. Convex combinations of long memory estimates from different sampling rates
   FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (2)
   See also Journal Article Convex combinations of long memory estimates from different sampling rates, Computational Statistics, Springer (2006) (2006)
4. Forecasting electricity demand using generalized long memory
   FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
   See also Journal Article Forecasting electricity demand using generalized long memory, International Journal of Forecasting, Elsevier (2006) View citations (48) (2006)
5. Forecasting electricity load demand: analysis of the 2001 rationing period in Brazil
   FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
6. Temporal aggregation and bandwidth selection in estimating long memory
   FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (2)
   See also Journal Article Temporal Aggregation and Bandwidth selection in estimating long memory, Journal of Time Series Analysis, Wiley Blackwell (2007) View citations (18) (2007)
7. The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes
   FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (5)
8. Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
   FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
   See also Journal Article Using Irregularly Spaced Returns to Estimate Multi-factor Models: Application to Brazilian Equity Data, The European Journal of Finance, Taylor & Francis Journals (2006) (2006)
9. Valuing Interest Rates Derivatives
   Computing in Economics and Finance 2003, Society for Computational Economics

2002

10. A Multi-Factor Model with Irregular Returns for missing values imputation in emergent markets: Application to Brazilian Equity Data
    Computing in Economics and Finance 2002, Society for Computational Economics
11. Evaluating the performance of GARCH models using White´s Reality Check
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (2)

Journal Articles

2008

1. Why Aggregate Long Memory Time Series?
   Econometric Reviews, 2008, 27, (1-3), 298-316 View citations (13)

2007

2. Electricity rationing and public response
   Energy Economics, 2007, 29, (2), 296-311 View citations (5)
3. Temporal Aggregation and Bandwidth selection in estimating long memory
   Journal of Time Series Analysis, 2007, 28, (5), 701-722 View citations (18)
   See also Working Paper Temporal aggregation and bandwidth selection in estimating long memory, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2003) View citations (2) (2003)

2006

4. Convex combinations of long memory estimates from different sampling rates
   Computational Statistics, 2006, 21, (3), 399-413
   See also Working Paper Convex combinations of long memory estimates from different sampling rates, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2003) View citations (2) (2003)
5. Forecasting electricity demand using generalized long memory
   International Journal of Forecasting, 2006, 22, (1), 17-28 View citations (48)
   See also Working Paper Forecasting electricity demand using generalized long memory, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2003) View citations (1) (2003)
6. Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach
   Brazilian Review of Finance, 2006, 4, (1), 55-77 View citations (6)
7. Using Irregularly Spaced Returns to Estimate Multi-factor Models: Application to Brazilian Equity Data
   The European Journal of Finance, 2006, 12, (6-7), 605-626
   See also Working Paper Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2003) (2003)

2005

8. A NOTE ON CHAMBERS'S "LONG MEMORY AND AGGREGATION IN MACROECONOMIC TIME SERIES"
   International Economic Review, 2005, 46, (3), 1059-1062 View citations (19)
   See also Working Paper A note on Chambers's 'long memory and aggregation in macroeconomic time series', FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2003) View citations (8) (2003)
9. Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check
   Brazilian Review of Econometrics, 2005, 25, (1) View citations (1)

2004

10. Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study
    International Journal of Forecasting, 2004, 20, (3), 487-502 View citations (20)

2002

11. Bias in the memory parameter for different sampling rates
    International Journal of Forecasting, 2002, 18, (2), 299-313 View citations (18)