Daniel Batista da Silva

Quantitative Asset Pricing, Volatility and Tail Risk, Financial Econometrics, High-Frequency Finance, Portfolio Construction

Batista da Silva, D. & Fernandes, M. (2024). Semivolatility-Managed Portfolios. Working Paper.
Batista da Silva, D. (2026). The Jump–Diffusion Anatomy of Semibetas. Work in Progress
Batista da Silva, D. & Fernandes, M. (2026). Upside Risk and Return Timing in Bitcoin. Revise & Resubmit, Economics Letters.
Batista da Silva, D. (2026). Spectral Risk Factors and the Limits of Spanability. Working Paper

My research focuses on quantitative asset pricing and financial econometrics, with particular emphasis on volatility and tail risk, high-frequency finance, and portfolio construction. I study financial risk across its different dimensions, aiming both to improve our academic understanding of risk and to develop insights and tools relevant for investors and risk managers.