Guilherme V. Moura

Universidade Federal de Santa Catarina (UFSC) - Department of Economics

PO Box 476

Florianopolis, SC 88010-970

Brazil

SCHOLARLY PAPERS

10

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CITATIONS
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Top 40,227

in Total Papers Citations

4

Scholarly Papers (10)

1.

Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy

Number of pages: 28 Posted: 05 Jan 2013
João Caldeira and Guilherme V. Moura
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 1,816 (3,020)

Abstract:

statistical arbitrage, pairs trading, cointegration, market neutral strategy

2.

Bond Portfolio Optimization Using Dynamic Factor Models

Number of pages: 49 Posted: 07 Jun 2012 Last Revised: 23 Nov 2015
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 484 (34,673)

Abstract:

yield curve; dynamic factor model; dynamic conditional correlation (DCC); portfolio optimization; value-at-risk

3.

Measuring Risk in Fixed Income Portfolios Using Yield Curve Models

Number of pages: 28 Posted: 18 Aug 2013
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 222 (79,745)

Abstract:

backtesting, dynamic conditional correlation (DCC), forecast, maximum likelihood, value-at-risk

4.

Dynamic Factor Multivariate GARCH Model

Forthcoming, Computational Statistics and Data Analysis
Number of pages: 27 Posted: 17 Jul 2012 Last Revised: 09 Oct 2012
Andre A. P. Santos and Guilherme V. Moura
Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 201 (113,099)
Citation 1

Abstract:

dynamic conditional correlation (DCC), forecasting, Kalman filter, learning, CAPM, performance evaluation, Sharpe ratio

5.

Predicting the Yield Curve Using Forecast Combinations

Number of pages: 34 Posted: 18 Aug 2013
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 89 (212,609)

Abstract:

yield curve, dynamic factor models, forecast combinations, economic value of forecasts, Kalman

6.

Efficient Likelihood Evaluation of State-Space Representations

Number of pages: 44 Posted: 11 Feb 2012
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics, Universidade Federal de Santa Catarina (UFSC) - Department of Economics, University of Pittsburgh - Department of Economics and University of Pittsburgh
Downloads 66 (284,395)
Citation 2

Abstract:

dynamic stochastic general equilibrium model, efficient importance sampling, kernel density approximation, particle filter

7.

Efficient Yield Curve Estimation and Forecasting in Brazil

Revista Economia, January/April 2010
Number of pages: 25 Posted: 21 Jun 2012
João Caldeira, Guilherme V. Moura and Marcelo Savino Portugal
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and affiliation not provided to SSRN
Downloads 54 (247,750)
Citation 1

Abstract:

Term Structure of the Interest Rate, Yield Curve, State-Space Model, Kalman Filter

8.

Combining Multivariate Volatility Forecasts: An Economic-Based Approach

Journal of Financial Econometrics, Forthcoming
Number of pages: 45 Posted: 23 Sep 2015 Last Revised: 25 Oct 2016
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 21 (162,816)

Abstract:

Composite likelihood, conditional correlation models, model confidence set, realized covariance, stochastic volatility

9.

Determinants and Dynamics of Current Account Reversals: An Empirical Analysis

Oxford Bulletin of Economics and Statistics, Vol. 72, No. 4, pp. 486-517, August 2010
Number of pages: 32 Posted: 21 Jun 2010
Roman Liesenfeld, Guilherme V. Moura and Jean-François Richard
University of Cologne, Department of Economics, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and affiliation not provided to SSRN
Downloads 2 (541,018)
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Abstract:

10.

Yield Curve Forecast Combinations Based on Bond Portfolio Performance

Journal of Forecasting, Forthcoming
Number of pages: 33 Posted: 29 Mar 2017
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 0 (352,549)

Abstract:

Forecast Combinations, Portfolio Optimization, Yield Curve, Bond Returns