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Can Brazilian Central Bank communication help to predict the yield curve?
Alves, Cássio Roberto de Andrade; Abraham, Kuruvilla Joseph - In: Journal of forecasting 42 (2023) 6, pp. 1429-1444
Persistent link: https://www.econbiz.de/10014338912
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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
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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
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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
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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
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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
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Non-parametric pricing of interest rates options
Mauad, Roberto Baltieri; Laurini, Márcio Poletti - In: Brazilian review of econometrics : BRE ; the review of … 32 (2012) 2, pp. 201-240
Persistent link: https://www.econbiz.de/10011538557
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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
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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
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Implicit inflation and risk premiums in the Brazilian fixed income market
Mariani, Lucas Argentieri; Laurini, Márcio Poletti - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1836-1853
Persistent link: https://www.econbiz.de/10011824783