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P.J. Mauricio Rodrigues

Research profile

Please consult my personal homepage https://sites.google.com/view/prodrigues

Publications

Most recent publications:

  • Kaeck, A., Rodrigues, P., & Seeger, N. J. (2018). Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. Journal of Economic Dynamics & Control, 90, 1-29. https://doi.org/10.1016/j.jedc.2018.01.040

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  • Branger, N., Rodrigues, P., & Schlag, C. (2018). Level and slope of volatility smiles in long-run risk models. Journal of Economic Dynamics & Control, 86, 95-122. https://doi.org/10.1016/j.jedc.2017.10.007

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  • Kurz, M., Rodrigues, P., & Quaedvlieg, R. (2017). Dense Betas. Paper presented at German Finance Association (DGF) Annual Meeting, Ulm, Germany.

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  • Kaeck, A., Rodrigues, P., & Seeger, N. J. (2017). Equity index variance: Evidence from flexible parametric jump-diffusion models. Journal of Banking & Finance, 83, 85-103. https://doi.org/10.1016/j.jbankfin.2017.06.010

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  • Branger, N., Rodrigues, P., & Schlag, C. (2016). Level and Slope of Volatility Smiles in Long-Run Risk Models.

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  • Chegut, A. M., Eichholtz, P. M. A., & Rodrigues, P. J. (2015). Spatial dependence in international office markets. Journal of Real Estate Finance and Economics, 51(2), 317-350. https://doi.org/10.1007/s11146-014-9484-x

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  • Ignatieva, K., Rodrigues, P. J., & Seeger, N. (2015). Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices. Journal of Business & Economic Statistics, 33(1), 68-75. https://doi.org/10.1080/07350015.2014.922471

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  • Chegut, A. M., Eichholtz, P. M. A., & Rodrigues, P. J. (2013). The London commercial property price index. Journal of Real Estate Finance and Economics, 47(4), 588-616. https://doi.org/10.1007/s11146-013-9429-9

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Go to all publications

Other publications:

  • Reinhard Hujer, Paulo J.M. Rodrigues, Katja Wolf, (2008) "Dynamic Panel Data Models with Spatial Correlation”, Journal of Economics and Statistics, Vol. 228 Iss: 5+6, pp. 612 - 629
  • Reinhard Hujer, Paulo J.M. Rodrigues, Katja Wolf, (2009) "Estimating the macroeconomic effects of active labour market policies using spatial econometric methods", International Journal of Manpower, Vol. 30 Iss: 7, pp. 648 - 671
  • Andrea M. Chegut, Piet M. A. Eichholtz, Paulo Rodrigues, (2013) "The London Commercial Property Price Index”, The Journal of Real Estate Finance and Economics, Vol. 47, Iss: 4, pp. 588-616
  • Andrea M. Chegut, Piet M. A. Eichholtz, Paulo Rodrigues, (2014) "Spatial Dependence in International Office Markets”, The Journal of Real Estate Finance and Economics, forthcoming
  • Katja Ignatieva, Paulo Rodrigues, Norman Seeger, (2014) "Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices”, Journal of Business & Economic Statistics, forthcoming

 

P.J. Mauricio Rodrigues

Assistant Professor

Finance, School of Business and Economics
p​.​rodrigues​@​​maastricht​university​.​nl
+31(0)43 3883633
+31(0)43 3883838

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P.J. Mauricio Rodrigues

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