In this article we introduce a new methodology for modeling curves with a dynamic structure, using a non-parametric approach formulated as a state space model. The non-parametric approach is based on the use of penalized splines, represented as a dynamic mixed model. This formulation can capture...

In this paper we analyze a maximum likelihood estimator using data cloning for stochastic volatility models.This estimator is constructed using a hybrid methodology based on Integrated Nested Laplace Approximations to calculate analytically the auxiliary Bayesian estimators with great accuracy...

The paper discusses the use of statistical methods in the comparison of investment fund performance indicators. The analysis is based on the robust statistics proposed by Ledoit and Wolf (2008), for the pairwise comparison of funds and two generalizations for sets of multiple investment funds....

This paper assesses the relation between the yield curve and the main macroeconomic variables in the U.S. between early 1970s and 2000. We revisit the macro-finance model of Diebold et al. (2006) with the inclusion of a stochastic volatility structure for the latent factors and macroeconomic...

Neste artigo propomos modelos de fatores latentes para realizar a modelagem conjunta de curvas de juros em múltiplos mercados, generalizando diversos modelos existentes na literatura de estimação da estrutura a termo de taxas de juros. Os modelos propostos não precisam assumir as...