Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2023). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 41(4):1173--1187.
Gustavo Freire
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Asset Pricing, Finance, Financial Econometrics, Risk and Uncertainty
Website
Biography
Gustavo Freire is an Assistant Professor at the Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam. His research interests are centered around asset pricing, option pricing, financial economics, financial econometrics and machine learning. At Erasmus University, he teaches master and bachelor courses on asset pricing, financial econometrics and investments.
Key publications
List of publications
Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2023). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 41(4):1173--1187.
Almeida, C., Fan, J., Freire, G. and Tang, F. (2023). Can a Machine Correct Option Pricing Models? Journal of Business and Economic Statistics, 41(3):995--1009.
Almeida, C., Ardison, K., Bulhoes Carvalho da Paz Freire, G., Garcia, R. and Orlowski, P. (2023). High-Frequency Tail Risk Premium and Stock Return Predictability Journal of Financial and Quantitative Analysis, :.
Almeida, C. and Freire, G. (2022). Pricing of index options in incomplete markets Journal of Financial Economics, 144(1):174--205.
Freire, G. and Resende, M. (2020). Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828–1915 Empirical Economics, 59(6):3063--3084.