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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Bayesian inference applied to dynamic Nelson-Siegel model with stochastic volatility
Caldeira, João F.
;
Laurini, Márcio Poletti
;
Portugal, …
- In:
Brazilian review of econometrics : BRE ; the review of …
30
(
2010
)
1
,
pp. 123-161
Persistent link: https://www.econbiz.de/10009704732
Saved in:
6
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
Saved in:
7
Selection of a portfolio of pairs based on cointegration : a statistical arbitrage strategy
Caldeira, João F.
;
Moura, Guilherme Valle
- In:
Revista Brasileira de Finanças : RBFin
11
(
2013
)
1
,
pp. 49-80
Persistent link: https://www.econbiz.de/10010436848
Saved in:
8
Solving the index tracking problem based on a convex reformulation for cointegration
Sant'Anna, Leonardo Riegel
;
Oliveira, Alan Delgado de
; …
- In:
Finance research letters
37
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012484879
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9
A macro-finance term structure model with multivariate stochastic volatility
Laurini, Márcio Poletti
;
Caldeira, João F.
- In:
International review of economics & finance : IREF
44
(
2016
),
pp. 68-90
Persistent link: https://www.econbiz.de/10011626008
Saved in:
10
Investigating the use of statistical process control charts for index tracking portfolios
Sant'Anna, Leonardo Riegel
;
Filomena, Tiago Pascoal
; …
- In:
Journal of the Operational Research Society
70
(
2019
)
10
,
pp. 1622-1638
Persistent link: https://www.econbiz.de/10012214352
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