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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

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

Previsões macroeconômicas baseadas em modelos TVP-VAR : evidências para o Brasil

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Revista brasileira de economia : RBE ; revista da … 69 (2015) 4, pp. 407-428

Persistent link: https://www.econbiz.de/10011447328

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

Combining multivariate volatility forecasts: an economic-based approach

Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285

Persistent link: https://www.econbiz.de/10011987429

Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors

Caldeira, João F.; Cordeiro, Werley C.; Ruiz, Esther; … - 2023

Persistent link: https://www.econbiz.de/10014371839

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

Comparing univariate and multivariate models to forecast portfolio value-at-risk

Santos, André A. P.; Nogales, Francisco J.; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 400-441

Persistent link: https://www.econbiz.de/10009745807

Forecasting period charter rates of VLCC tankers through neutral networks : a comparison of alternative approaches

Santos, André A. P.; Junkes, Luciano N.; Pires, … - In: Maritime economics & logistics : a quarterly scientific … 16 (2014) 1, pp. 72-91

Persistent link: https://www.econbiz.de/10010255429

Can machine learning help to select portfolios of mutual funds?

DeMiguel, Victor; Gil-Bazo, Javier; Nogales, Francisco J.; … - 2021 - This version: March 24, 2021

Persistent link: https://www.econbiz.de/10012819375