# A melhor ferramenta para a sua pesquisa, trabalho e TCC!

- Fundação Getúlio Vargas
- University of Rochester
- Banco Mundial
- World Bank, Washington, DC
- Washington, DC
- Instituto Universitário Europeu
- European University Institute
- World Bank
- Université de Montréal
- Universidade Cornell
- Universidade Duke
- London School of Economics and Political Science Thesis
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## ‣ Aggregate uncertainty, disappointment aversion and the business cycle

## ‣ Idiosyncratic volatility, aggregate volatility risk, and the cross-section of returns

## ‣ Financial Distortions and the Distribution of Global Volatility

## ‣ Zooming In : From Aggregate Volatility to Income Distribution

## ‣ Climate Volatility and Poverty Vulnerability in Tanzania

## ‣ Caribbean Economic Overview 2002 : Macroeconomic Volatility, Household Vulnerability, and Institutional and Policy Responses

## ‣ The Foundations of Macroprudential Regulation : A Conceptual Roadmap

## ‣ Liquidity Needs and Vulnerability to Financial Underdevelopment

## ‣ Finance and Macroeconomic Volatility

## ‣ Growth Volatility in Paraguay : Sources, Effects, and Options, Volume 2. Supplementary Volume with Selected Background Papers

## ‣ Urban Growth Across Three Continents: The Blessing of Human Capital and the Curse of Volatility

## ‣ Urban Growth, Uninsured Risk and the Rural Origins of Aggregate Volatility

## ‣ Good Luck or Good Policy? An expectational theory of macro volatility switches

## ‣ Crises, Volatility, and Growth

## ‣ Over the Hedge : Exchange Rate Volatility, Commodity Price Correlations, and the Structure of Trade

## ‣ Why Have Aggregate Skilled Hours Become So Cyclical Since the Mid-1980's?

## ‣ An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility

## ‣ Instabilities in large economies: aggregate volatility without idiosyncratic shocks

## ‣ Asymmetric Correlations in Financial Markets

This dissertation consists of three essays on asymmetric correlations in financial markets. In the first essay, I have two main contributions. First, I show that dividend growth rates have symmetric correlations. Second, I show that asymmetric correlations are different than correlations being counter-cyclical. The correlation asymmetry I study in this dissertation should not be confused with correlations being counter-cyclical, i.e. being higher during recessions than during booms. I show that while counter-cyclical correlations can simply be explained by counter-cyclical aggregate market volatility, the correlation asymmetry with respect to joint upside and downside movements of returns are not just due to the heightened market volatility during those times.

In the second essay I present a model in order to explain the correlation asymmetry observed in the data. This is the first paper to offer an explanation for observed correlation asymmetry. I formalize the explanation using an equilibrium model. The model is useful to understand both the cross-section and time-series of correlation asymmetry. By the means of my model, we can answer questions about why some stocks have higher correlation asymmetry, and why the correlation asymmetry was higher during 1990s? In the model asset prices respond the realization of dividends and news about the future. However...