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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

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

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

Evidences of Bull and Bear Markets in the Bovespa index : an application of Markovian regime-switching models with duration dependence

Mendes, Fernando Henrique de Paula e Silva; Moura, … - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 1, pp. 39-74

Persistent link: https://www.econbiz.de/10012129029

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

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

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

Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization

Turatti, Douglas Eduardo; Mendes, Fernando Henrique de … - In: Finance research letters 34 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012436908