Similar Search Results

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

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

Combining Multivariate Volatility Forecasts : An Economic-Based Approach

Caldeira, João - 2016

We devise a novel approach to combine predictions of high dimensional conditional covariance matrices using economic criteria based on portfolio selection. The combination scheme takes into account not only the portfolio objective function but also the portfolio characteristics in order to...

Persistent link: https://www.econbiz.de/10013003499

It's all in the timing again : simple active portfolio strategies that outperform naïve diversification in the cryptocurrency market

Tavares, Ricardo de Souza; Caldeira, João F.; Raimundo … - In: Applied economics letters 29 (2022) 2, pp. 118-122

Persistent link: https://www.econbiz.de/10012803391

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

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

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