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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
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Seleção de carteiras utilizando o modelo Fama-French-Carhart
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Revista brasileira de economia : RBE ; revista da … 67 (2013) 1, pp. 45-65
Persistent link: https://www.econbiz.de/10011443856
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Previsões macroeconômicas baseadas em modelos TVP-VAR : evidências para o Brasil
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Revista brasileira de economia : RBE ; revista da … 69 (2015) 4, pp. 407-428
Persistent link: https://www.econbiz.de/10011447328
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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
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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
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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
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Can we predict the financial markets based on Google's search queries?
Perlin, Marcelo Scherer; Caldeira, João F.; Santos, … - In: Journal of forecasting 36 (2017) 4, pp. 454-467
Persistent link: https://www.econbiz.de/10011860470
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Selection of a portfolio of pairs based on cointegration : a statistical arbitrage strategy
Caldeira, João F.; Moura, Guilherme Valle - In: Revista Brasileira de Finanças : RBFin 11 (2013) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10010436848
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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
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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