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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

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

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

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

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

Identification of asymmetric conditional heteroscedasticity in the presence of outliers

Carnero, M. Angeles; Pérez, Ana; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 179-201

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

Persistent link: https://www.econbiz.de/10011458810

Revisiting several popular GARCH models with leverage effect : differences and similarities

Rodríguez, María José; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 637-668

Persistent link: https://www.econbiz.de/10009671894

Estimating GARCH volatility in the presence of outliers

Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - In: Economics letters 114 (2012) 1, pp. 86-90

Persistent link: https://www.econbiz.de/10009517276