Rafael Barros de Rezende

Stockholm School of Economics

PhD Student

Sveavägen 65, Stockholm (6th floor)

Box 6501 SE-113 83

Stockholm, SE-113 83

Sweden

SCHOLARLY PAPERS

3

DOWNLOADS

464

CITATIONS

0

Scholarly Papers (3)

1.

Modeling and Forecasting the Yield Curve by an Extended Nelson-Siegel Class of Models: A Quantile Autoregression Approach

Number of pages: 25 Posted: 29 Oct 2008 Last Revised: 23 Feb 2011
Rafael Barros de Rezende
Stockholm School of Economics
Downloads 227 (99,482)

Abstract:

Term structure, in-sample fitting, out-of-sample forecasts, Nelson-Siegel, Quantile Autoregression

2.

Giving Flexibility to the Nelson-Siegel Class of Term Structure Models

Number of pages: 24 Posted: 29 Oct 2008 Last Revised: 19 Mar 2011
Rafael Barros de Rezende
Stockholm School of Economics
Downloads 158 (145,474)

Abstract:

Spot Curve, Forward Curve, Nelson-Siegel class models, smoothing spline

3.

The Interest Rate Effects of Government Bond Purchases Away from the Lower Bound

Riksbank Research Paper Series No. 148, Sveriges Riksbank Working Paper Series No. 324
Number of pages: 43 Posted: 23 May 2016
Rafael Barros de Rezende
Stockholm School of Economics
Downloads 0 (380,505)

Abstract:

quantitative easing, signaling channel, portfolio balance channel, yield curve, dynamic affine term structure models, short rate expectations, term premium