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Moura, Guilherme V.'s
Scholarly Papers
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Aggregate Statistics |
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Total Downloads
772 |
Total
Citations
4 |
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1.
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Caldeira, João Universidade Federal do Rio Grande do Sul (UFRGS) Moura, Guilherme V. Universidade Federal de Santa Catarina (UFSC) - Department of Economics
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330
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statistical arbitrage, pairs trading, cointegration, market neutral strategy
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2.
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Caldeira, João Universidade Federal do Rio Grande do Sul (UFRGS) Moura, Guilherme V. Universidade Federal de Santa Catarina (UFSC) - Department of Economics Santos, Andre A. P. Universidade Federal de Santa Catarina (UFSC) - Department of Economics
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07 Jun 12
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Last Revised:
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11 Mar 13
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258
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yield curve; dynamic factor model; dynamic conditional correlation (DCC); portfolio optimization; value-at-risk.
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3.
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Santos, Andre A. P. Universidade Federal de Santa Catarina (UFSC) - Department of Economics Moura, Guilherme V. Universidade Federal de Santa Catarina (UFSC) - Department of Economics
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17 Jul 12
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Last Revised:
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09 Oct 12
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108
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dynamic conditional correlation (DCC), forecasting, Kalman filter, learning, CAPM, performance evaluation, Sharpe ratio
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4.
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DeJong, David N. University of Pittsburgh - Department of Economics Liesenfeld, Roman University of Cologne, Department of Economics Moura, Guilherme V. Universidade Federal de Santa Catarina (UFSC) - Department of Economics Richard, Jean-Francois University of Pittsburgh - Department of Economics Dharmarajan, Hariharan University of Pittsburgh
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52
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2
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dynamic stochastic general equilibrium model, efficient importance sampling, kernel density approximation, particle filter
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5.
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Caldeira, João Universidade Federal do Rio Grande do Sul (UFRGS) Moura, Guilherme V. Universidade Federal de Santa Catarina (UFSC) - Department of Economics Savino Portugal, Marcelo affiliation not provided to SSRN
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22
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1
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Term Structure of the Interest Rate, Yield Curve, State-Space Model, Kalman Filter
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6.
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Liesenfeld, Roman University of Cologne, Department of Economics Moura, Guilherme V. Universidade Federal de Santa Catarina (UFSC) - Department of Economics Richard, Jean-François affiliation not provided to SSRN
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2
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Records 1 -
6
of 6 matches
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1
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