Search Results - "Caldeira, João F."

Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil by Caldeira, João F.

“…We re-examine the validity of the expectation hypothesis (EH) of the term structure for the Brazilian fixed income market, using data from January 2000 to June…”
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Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics by Caldeira, João F., Santos, André A.P., Torrent, Hudson S.

“…Empirical evidence shows that the relationship between firm characteristics and stock returns is non-linear, with a stronger correlation at the extreme deciles…”
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A pairs trading strategy based on mixed copulas by Sabino da Silva, Fernando A.B., Ziegelmann, Flavio A., Caldeira, João F.

“…We propose an alternative pairs trading strategy based on computing a mispricing index in a novel way via a mixed copula model, or more specifically via an…”
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The role of taxes and the interdependence among corporate financial policies: Evidence from a natural experiment by Colombo, Jéfferson A., Caldeira, João F.

“…In this paper, we investigate whether and how firms respond to an exogenous tax variation at the investor level by examining their financial decisions…”
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Can We Predict the Financial Markets Based on Google's Search Queries? by Perlin, Marcelo S., Caldeira, João F., Santos, André A. P., Pontuschka, Martin

“…We look into the interaction of Google's search queries and several aspects of international equity markets. Using a novel methodology for selecting words and…”
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Do foreign portfolio capital flows affect domestic investment? Evidence from Brazil by Colombo, Jefferson A., Loncan, Tiago R., Caldeira, João F.

“…Although there are several direct and indirect theoretical channels through which foreign capital flows may affect domestic investment, empirical evidence…”
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The expectations hypothesis of the term structure of interest rates: The Brazilian case revisited by Caldeira, João F., Smaniotto, Emanuelle N.

“…This article tests the Expectations Hypothesis (EH) using Brazilian monthly data for bond yields spanning the 2000-2017 sample period and ranging in maturity…”
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Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model by Stona, Filipe, Caldeira, João F.

“…This paper contributes to the literature on the relationship between the yield curve, macroeconomic variables, and the unexplored interactions with tae U.S…”
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Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection by Sant’Anna, Leonardo R., Filomena, Tiago P., Caldeira, João F.

“…•Portfolio optimization for index tracking and enhanced index tracking strategies.•Comparison of two methods for asset allocation: cointegration and…”
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Bond portfolio optimization using dynamic factor models by Caldeira, João F., Moura, Guilherme V., Santos, André A.P.

“…A general class of dynamic factor models is used to obtain optimal bond portfolios, and to develop a duration-constrained mean-variance optimization, which can…”
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Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value? by Caldeira, João F., Gupta, Rangan, Torrent, Hudson S.

“…This paper analyzes the forecast performance of historical S&P500 and Dow Jones Industrial Average (DJIA) excess returns while using nonparametric functional…”
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A macro-finance term structure model with multivariate stochastic volatility by Laurini, Márcio P., Caldeira, João F.

“…This article examines some consequences of the presence of non-affine structures of multivariate stochastic volatility in a dynamic Nelson–Siegel model with…”
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Yield curve forecast combinations based on bond portfolio performance by Caldeira, João F., Moura, Guilherme V., Santos, André A. P.

“…We propose an economically motivated forecast combination strategy in which model weights are related to portfolio returns obtained by a given forecast model…”
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Combining Multivariate Volatility Forecasts: An Economic-Based Approach by Caldeira, João F., Moura, Guilherme V., Nogales, Francisco J., Santos, André A. P.

“…We devise a novel approach to combine predictions of high-dimensional conditional covariance matrices using economic criteria based on portfolio selection. The…”
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Measuring Risk in Fixed Income Portfolios using Yield Curve Models by Caldeira, João F., Moura, Guilherme V., Santos, André A. P.

“…We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR). We obtain closed-form expressions for the vector of…”
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Portfolio management using realized covariances: Evidence from Brazil by Caldeira, João F, Moura, Guilherme V, Perlin, Marcelo S, Santos, André A.P

“…It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is…”
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Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence by Caldeira, João F, Moura, Guilherme V, Santos, André A. P, Tourrucôo, Fabricio

“…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…”
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Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors by Caldeira, João F., Cordeiro, Werley C., Ruiz, Esther, Santos, André A.P.

“…In this article, we analyse the forecasting performance of several parametric extensions of the popular Dynamic Nelson–Siegel (DNS) model for the yield curve…”
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Predicting the yield curve using forecast combinations by Caldeira, João F., Moura, Guilherme V., Santos, André A.P.

“…An examination of the statistical accuracy and economic value of modeling and forecasting the term structure of interest rates using forecast combinations is…”
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Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado by Zabot, Udilmar Carlos, Caetano, Sidney Martins, Caldeira, João F.

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