PO Box 476
Florianopolis, SC 88010-970
Universidade Federal de Santa Catarina (UFSC) - Department of Economics
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statistical arbitrage, pairs trading, cointegration, market neutral strategy
yield curve; dynamic factor model; dynamic conditional correlation (DCC); portfolio optimization; value-at-risk
backtesting, dynamic conditional correlation (DCC), forecast, maximum likelihood, value-at-risk
dynamic conditional correlation (DCC), forecasting, Kalman filter, learning, CAPM, performance evaluation, Sharpe ratio
yield curve, dynamic factor models, forecast combinations, economic value of forecasts, Kalman
dynamic stochastic general equilibrium model, efficient importance sampling, kernel density approximation, particle filter
Term Structure of the Interest Rate, Yield Curve, State-Space Model, Kalman Filter
Composite likelihood, conditional correlation models, model confidence set, realized covariance, stochastic volatility
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File name: obes.
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Forecast Combinations, Portfolio Optimization, Yield Curve, Bond Returns
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