Similar Search Results

Long memory in the R$, US$ exchange rate : a robust analysis

Laurini, Márcio Poletti; Portugal, Marcelo Savino - In: Brazilian review of econometrics : the review of the … 24 (2004) 1, pp. 109-147

Persistent link: https://www.econbiz.de/10003116247

Multivariate Stochastic Volatility-Double Jump Model : An Application for Oil Assets

Laurini, Márcio Poletti - 2017

We propose a new multivariate model to capture the presence of jumps in mean and conditional variance in the returns of oil prices and companies in this sector. The model is based on the presence of common factors associated with jumps in mean and variance, as it performs a decomposition of the...

Persistent link: https://www.econbiz.de/10012947795

Interest rate forecasting with principal component analysis based on long-run covariance matrix

Hissinaga, Hugo; Laurini, Márcio Poletti - In: Annals of financial economics 19 (2024) 2, pp. 1-50

Persistent link: https://www.econbiz.de/10015323569

Constrained smoothing B-splines for the term structure of interest rates

Laurini, Márcio Poletti; Moura, Marcelo - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 339-350

Persistent link: https://www.econbiz.de/10003966597

Bayesian inference applied to dynamic Nelson-Siegel model with stochastic volatility

Caldeira, João F.; Laurini, Márcio Poletti; Portugal, … - In: Brazilian review of econometrics : BRE ; the review of … 30 (2010) 1, pp. 123-161

Persistent link: https://www.econbiz.de/10009704732

Forecasting the term structure of interest rates using integrated nested Laplace approximations

Laurini, Márcio Poletti; Hotta, Luiz K. - In: Journal of forecasting 33 (2014) 3, pp. 214-230

Persistent link: https://www.econbiz.de/10010424830

Bayesian extensions to Diebold-Li term structure model

Laurini, Márcio Poletti; Hotta, Luiz K. - In: International review of financial analysis 19 (2010) 5, pp. 342-350

Persistent link: https://www.econbiz.de/10009272648

Multivariate stochastic volatility-double jump model : an application for oil assets

Laurini, Márcio Poletti; Mauad, Roberto Baltieri; … - 2016

Persistent link: https://www.econbiz.de/10011444747

A noisy principal component analysis for forward rate curves

Laurini, Márcio Poletti; Ohashi, Alberto - In: European journal of operational research : EJOR 246 (2015) 1, pp. 140-153

Persistent link: https://www.econbiz.de/10011341688

Poverty elasticity : a note on a new empirical approach

Figueiredo, Erik; Laurini, Márcio Poletti - In: The review of income and wealth : journal of the … 62 (2016) 2, pp. 394-401

Persistent link: https://www.econbiz.de/10011621880