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Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection

Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 146-157

Persistent link: https://www.econbiz.de/10011792475

Investigating the use of statistical process control charts for index tracking portfolios

Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1622-1638

Persistent link: https://www.econbiz.de/10012214352

Solving the index tracking problem based on a convex reformulation for cointegration

Sant'Anna, Leonardo Riegel; Oliveira, Alan Delgado de; … - In: Finance research letters 37 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012484879

Semiparametric portfolios : Improving portfolio performance by exploiting non-linearities in firm characteristics

Caldeira, João F.; Santos, André A. P.; Torrent, Hudson S. - In: Economic modelling 122 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014388683

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

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

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

A macro-finance term structure model with multivariate stochastic volatility

Laurini, Márcio Poletti; Caldeira, João F. - In: International review of economics & finance : IREF 44 (2016), pp. 68-90

Persistent link: https://www.econbiz.de/10011626008

Forecasting the US term structure of interest rates using nonparametric functional data analysis

Caldeira, João F.; Torrent, Hudson da Silva - In: Journal of forecasting 36 (2017) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10011729058

Combining Multivariate Volatility Forecasts : An Economic-Based Approach

Caldeira, João F. - 2016

We devise a novel approach to combine predictions of high dimensional conditional covariance matrices using economic criteria based on portfolio selection. The combination scheme takes into account not only the portfolio objective function but also the portfolio characteristics in order to...

Persistent link: https://www.econbiz.de/10013003499