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A non-knotty inflation risk premium model

Vicente, José Valentim Machado - In: Applied economics 55 (2023) 28, pp. 3271-3278

Persistent link: https://www.econbiz.de/10014299150

Vicente, José Valentim Machado; Graminho, Flávia Mourão - In: Revista brasileira de economia : RBE ; revista da … 69 (2015) 2, pp. 263-284

Persistent link: https://www.econbiz.de/10011447170

Do central bank foreign exchange interventions affect market expectations?

Marins, Jaqueline Terra Moura; Araújo, Gustavo Silva; … - In: Applied economics 49 (2017) 31/33, pp. 3017-3031

Persistent link: https://www.econbiz.de/10011773166

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Do the central bank actions reduce interest rate volatility?

Marins, Jaqueline Terra Moura; Vicente, José Valentim … - In: Economic modelling 65 (2017), pp. 129-137

Persistent link: https://www.econbiz.de/10011813619

Nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 333-376

Persistent link: https://www.econbiz.de/10011987494

Forecasting bond yields with segmented term structure models

Almeida, Caio; Ardison, Kym; Kubudi, Daniela; Simonsen, Axel - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011987669

A volatility smile-based uncertainty index

Vicente, José Valentim Machado; Marins, Jaqueline … - In: Annals of finance 17 (2021) 2, pp. 231-246

Persistent link: https://www.econbiz.de/10012585519

Rationality and anchoring of inflation expectations : An assessment from survey‐based and market‐based measures

Mendonça, Helder Ferreira de; Garcia, Pedro Mendes; … - In: Journal of Forecasting 40 (2021) 6, pp. 1027-1053

Persistent link: https://www.econbiz.de/10012406771

Forecasting the yield curve: A statistical model with market survey data

Leite, André Luís; Filho, Romeu Braz Pereira Gomes; … - In: International Review of Financial Analysis 19 (2010) 2, pp. 108-112

In this paper we propose a statistical model to forecast the yield curve, using two major sources of information: data from a market survey and the forward rate risk premium. We apply the model to forecast the Brazilian yield curve six months ahead and compare the results with the well-known...

Persistent link: https://www.econbiz.de/10008522849