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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

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

Bond portfolio optimization using dynamic factor models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Journal of empirical finance 37 (2016), pp. 128-158

Persistent link: https://www.econbiz.de/10011662973

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

Investigating the expectation hypothesis and the risk premium dynamics : new evidence for Brazil

Caldeira, João F. - In: Empirical economics : a journal of the Institute for … 59 (2020) 1, pp. 395-412

Persistent link: https://www.econbiz.de/10012253226

Monetary policy surprises and jumps in interest rates : evidence from Brazil

Meurer, Roberto; Santos, André A. P.; Turatti, Douglas E. - In: Journal of economic studies 42 (2015) 5, pp. 893-907

Persistent link: https://www.econbiz.de/10011348911

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

The expectations hypothesis of the term structure of interest rates : the Brazilian case revisited

Caldeira, João F.; Smaniotto, Emanuelle N. - In: Applied economics letters 26 (2019) 8, pp. 633-637

Persistent link: https://www.econbiz.de/10012204293

Do U.S. factors impact the Brazilian yield curve? : evidence from a dynamic factor model

Stona, Filipe; Caldeira, João F. - In: The North American journal of economics and finance : a … 48 (2019), pp. 76-89

Persistent link: https://www.econbiz.de/10012120210

Forecasting the US term structure of interest rates using nonparametric functional data analysis

Caldeira, João F.; Torrent, Hudson da Silva - In: Journal of forecasting 36 (2017) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10011729058