Gustavo Fruet Dias

Gustavo is Associate Professor at School of Economics, University of East Anglia He completed his PhD at the School of Economics and Finance of Queen Mary, University of London in 2013. During his PhD, Gustavo was a visiting scholar at Duke University (Fall 2012). Gustavo has also taught several courses as a teaching assistant and course organizer at Queen Mary, University of London. Prior to start his PhD, Gustavo worked in the industry. Gustavo was Assistant Professor at CREATES, Aarhus University from 2013-2019.

Research interest: Econometrics (Financial Econometrics, Time Series Analysis, Forecasting, Big Data) and Financial Economics (Empirical market microstructure, Empirical Finance).

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Dias, G. F., Fernandes, M. & Scherrer, C. (2021). Price Discovery in a Continuous-Time Setting. Journal of Financial Econometrics, 19(5), 985-1008. https://doi.org/10.1093/jjfinec/nbz030

Dias, G. F. & Kapetanios, G. (2018). Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets. Journal of Econometrics, 202(1), 75-91. https://doi.org/10.1016/j.jeconom.2017.06.022

Dias, G. F. (2017). The time-varying GARCH-in-mean model. Economics Letters, 157, 129-132. https://doi.org/10.1016/j.econlet.2017.06.005

Papailias, F. & Dias, G. F. (2015). Forecasting long memory series subject to structural change: A two-stage approach. International Journal of Forecasting, 31(4), 1056–1066. https://doi.org/10.1016/j.ijforecast.2015.01.006