dr. G (Gustavo) Freire

Biography

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.

Erasmus School of Economics

Assistant professor | Econometrics

Email: freire@ese.eur.nl

Work

Gustavo Freire & Onno Kleen (2023) - Equity Option Prices and Firm Characteristics - doi: 10.2139/ssrn.4342597
Caio Almeida, Jianqing Fan, Gustavo Freire & Francesca Tang (2023) - Can a Machine Correct Option Pricing Models? - Journal of Business and Economic Statistics, 41 (3), 995-1009 - doi: 10.1080/07350015.2022.2099871 - [link]
Caio Almeida, Kym Ardison, Gustavo Bulhoes Carvalho da Paz Freire, René Garcia & Piotr Orlowski (2023) - High-Frequency Tail Risk Premium and Stock Return Predictability - Journal of Financial and Quantitative Analysis - doi: 10.2139/ssrn.3211954
Caio Almeida, Gustavo Freire, Rafael Azevedo & Kym Ardison (2023) - Nonparametric Option Pricing with Generalized Entropic Estimators - Journal of Business and Economic Statistics, 41 (4), 1173-1187 - doi: 10.1080/07350015.2022.2115499 - [link]
Caio Almeida & Gustavo Freire (2022) - Pricing of index options in incomplete markets - Journal of Financial Economics, 144 (1), 174-205 - doi: 10.1016/j.jfineco.2021.05.041 - [link]
Gustavo Freire (2021) - Tail risk and investors’ concerns: Evidence from Brazil - North American Journal of Economics and Finance, 58 - doi: 10.1016/j.najef.2021.101519 - [link]
Gustavo Freire & Marcelo Resende (2020) - Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828–1915 - Empirical Economics, 59 (6), 3063-3084 - doi: 10.1007/s00181-019-01740-2 - [link]

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Onno Kleen, Anastasija Tetereva, Gustavo Bulhoes Carvalho da Paz Freire, Maria Grith, Alberto Quaini & Rasmus Lonn (2023) - Financial Econometrics meets Machine Learning (FinEML) (Organiser)
Activity: Organising and contributing to an event › Academic

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