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Forecasting the Brazilian yield curve using forward-looking variables
Vieira, Fausto; Fernandes, Marcelo; Chague, Fernando - In: International journal of forecasting 33 (2017) 1, pp. 121-131
Persistent link: https://www.econbiz.de/10011754690
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A dynamic Nelson-Siegel model with forward-looking indicators for the Yield curve in the US
Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016
Persistent link: https://www.econbiz.de/10011635750
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A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
Fernandes, Marcelo; Vieira, Fausto - In: Journal of economic dynamics & control 106 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012132004
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Variance premium and implied volatility in a low-liquidity option market
Astorino, Eduardo Sanchez; Chague, Fernando; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10011898770
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Testing for a flexible non-linear link between short-term Eurorates and spreads
Fernandes, Marcelo - In: The European journal of finance 9 (2003) 2, pp. 125-145
Persistent link: https://www.econbiz.de/10001756876
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Financial crashes as endogenous jumps: estimation, testing and forecasting
Fernandes, Marcelo - In: Journal of economic dynamics & control 30 (2006) 1, pp. 111-141
Persistent link: https://www.econbiz.de/10003251178
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Modeling and predicting the CBOE market volatility index
Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - In: Journal of banking & finance 40 (2014), pp. 1-10
Persistent link: https://www.econbiz.de/10010402334