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Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

Persistent link: https://www.econbiz.de/10011441011

Bond portfolio optimization using dynamic factor models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Journal of empirical finance 37 (2016), pp. 128-158

Persistent link: https://www.econbiz.de/10011662973

A note on the estimation of minimum tracking error portfolios

Naibert, Paulo F.; Caldeira, João F.; Santos, André A. P. - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 209-214

Persistent link: https://www.econbiz.de/10012271404

Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model : Brazilian evidence

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Economia : revista da ANPEC 17 (2016) 2, pp. 221-237

We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson-Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large panel of Brazilian interest rate future contracts...

Persistent link: https://www.econbiz.de/10011865707

Semiparametric portfolios : Improving portfolio performance by exploiting non-linearities in firm characteristics

Caldeira, João F.; Santos, André A. P.; Torrent, Hudson S. - In: Economic modelling 122 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014388683

Comparing high-dimensional conditional covariance matrices : implications for portfolio selection

Moura, Guilherme Valle; Santos, André A. P.; Ruiz, Esther - In: Journal of banking & finance 118 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012521005

Investigating the expectation hypothesis and the risk premium dynamics : new evidence for Brazil

Caldeira, João F. - In: Empirical economics : a journal of the Institute for … 59 (2020) 1, pp. 395-412

Persistent link: https://www.econbiz.de/10012253226

Foreign portfolio capital flows and stock returns : a study of Brazilian listed firms

Loncan, Tiago Rodrigues; Caldeira, João F. - In: Estudos econômicos : publicação trimestral do … 45 (2015) 4, pp. 859-895

Persistent link: https://www.econbiz.de/10011458121

Selection of minimum variance portfolio using intraday data : an empirical comparison among different realized measures for BM&FBovespa data

Borges, Bruna K.; Caldeira, João F.; Ziegelmann, Flávio A. - In: Brazilian review of econometrics : BRE ; the review of … 35 (2015) 1, pp. 23-46

Persistent link: https://www.econbiz.de/10011538801

Cryptocurrencies : formation of returns from the CRIX index

Tavares, Ricardo de Souza; Caldeira, João F.; Raimundo … - In: Applied economics letters 28 (2021) 8, pp. 691-695

Persistent link: https://www.econbiz.de/10012501593