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The role of no-arbitrage on forecasting : lessons from a parametric term structure model
Almeida, Caio; Vicente, José - In: Journal of banking & finance 32 (2008) 12, pp. 2695-2705
Persistent link: https://www.econbiz.de/10003796156
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The role of no-arbitrage on forecasting : lessons from a parametric term structure model
Almeida, Caio (contributor); Vicente, José (contributor) - 2007
Persistent link: https://www.econbiz.de/10003566042
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Forecasting the Brazilian term structure using macroeconomic factors
Faria, Adriano; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 1, pp. 45-77
Persistent link: https://www.econbiz.de/10011538688
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Approximating risk premium on a parametric arbitrage-free term structure model
Almeida, Caio; Ardison, Kym; Kubudi, Daniela - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 203-246
Persistent link: https://www.econbiz.de/10011538792
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Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
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Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
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Forecasting bond yields with segmented term structure models
Almeida, Caio; Ardison, Kym; Kubudi, Daniela; Simonsen, Axel - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011987669
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A hybrid spline-based parametric model for the yield curve
Faria, Adriano; Almeida, Caio - In: Journal of economic dynamics & control 86 (2018), pp. 72-94
Persistent link: https://www.econbiz.de/10011973855