G. (Gustavo) Freire
I am an Assistant Professor at the Econometric Institute, Erasmus School of Economics. My research interests are centered around asset pricing, option pricing, financial economics, financial econometrics and machine learning.
Publications
Article (6)
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Academic (6)
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Almeida, C., Fan, J., Freire, G., & Tang, F. (2023). Can a Machine Correct Option Pricing Models? Journal of Business and Economic Statistics, 41(3), 995-1009. https://doi.org/10.1080/07350015.2022.2099871
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Almeida, C., Freire, G., Azevedo, R., & Ardison, K. (2023). Nonparametric Option Pricing with Generalized Entropic Estimators. Journal of Business and Economic Statistics, 41(4), 1173-1187. https://doi.org/10.1080/07350015.2022.2115499
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Almeida, C., Ardison, K., Bulhoes Carvalho da Paz Freire, G., Garcia, R., & Orlowski, P. (Accepted/In press). High-Frequency Tail Risk Premium and Stock Return Predictability. Journal of Financial and Quantitative Analysis. https://doi.org/10.2139/ssrn.3211954
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Almeida, C., & Freire, G. (2022). Pricing of index options in incomplete markets. Journal of Financial Economics, 144(1), 174-205. https://doi.org/10.1016/j.jfineco.2021.05.041
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Freire, G. (2021). Tail risk and investors’ concerns: Evidence from Brazil. North American Journal of Economics and Finance, 58, Article 101519. https://doi.org/10.1016/j.najef.2021.101519
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Freire, G., & Resende, M. (2020). Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828–1915. Empirical Economics, 59(6), 3063-3084. https://doi.org/10.1007/s00181-019-01740-2
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Preprint (1)
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Academic (1)
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Freire, G., & Kleen, O. (2023). Equity Option Prices and Firm Characteristics. https://doi.org/10.2139/ssrn.4342597
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Additional activities (1)
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Financial Econometrics meets Machine Learning (FinEML)
Organising and contributing to an event (Academic)
Address
Burgemeester Oudlaan 50
3062 PA Rotterdam
Postbus 1738
3000 DR Rotterdam
Netherlands
