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A term structure model for defaultable European sovereign bonds

Burity, Priscilla; Medeiros, Marcelo C.; Vereda, Luciano - In: Developments in macro-finance Yield curve modelling, (pp. 457-503). 2014

Persistent link: https://www.econbiz.de/10010253806

Testing for a flexible non-linear link between short-term Eurorates and spreads

Fernandes, Marcelo - In: The European journal of finance 9 (2003) 2, pp. 125-145

Persistent link: https://www.econbiz.de/10001756876

Forecasting the Brazilian yield curve using forward-looking variables

Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve to predict the Brazilian term structure of interest rates. Importantly, we extract the principal components for the FAVAR from a...

Persistent link: https://www.econbiz.de/10011796523

The macroeconomic determinants of the term structure of inflation expectations in Brazil

Thiele, Eduardo; Fernandes, Marcelo - In: Brazilian review of econometrics : BRE ; the review of … 35 (2015) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10011538796

Forecasting the Brazilian yield curve using forward-looking variables

Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016

Persistent link: https://www.econbiz.de/10011523983

A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US

Fernandes, Marcelo; Vieira, Fausto - In: Journal of economic dynamics & control 106 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012132004

Estratégias de imunização de carteiras de renda fixa no Brasil

Meirelles, S. K.; Fernandes, Marcelo - In: Revista Brasileira de Finanças : RBFin 16 (2018) 2, pp. 179-219

Persistent link: https://www.econbiz.de/10012125211

A dynamic Nelson-Siegel model with forward-looking indicators for the Yield curve in the US

Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016

Persistent link: https://www.econbiz.de/10011635750

Forecasting the Brazilian yield curve using forward-looking variables

Vieira, Fausto; Fernandes, Marcelo; Chague, Fernando - In: International journal of forecasting 33 (2017) 1, pp. 121-131

Persistent link: https://www.econbiz.de/10011754690

Disagreement in inflation forecasts and inflation risk premia in Brazil

Doi, Jonas; Fernandes, Marcelo; Nunes, Clemens V. A. - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 45-59

Persistent link: https://www.econbiz.de/10011860479