Guilherme V. Moura

Federal University of Santa Catarina (UFSC) - Department of Economics

PO Box 476

Florianopolis, SC 88010-970

Brazil

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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SSRN RANKINGS

Top 30,195

in Total Papers Citations

25

CROSSREF CITATIONS

13

Scholarly Papers (11)

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 de Santa Catarina & CNPq and Federal University of Santa Catarina (UFSC) - Department of Economics
Downloads 6,407 (2,292)
Citation 29

Abstract:

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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 de Santa Catarina & CNPq, Federal University of Santa Catarina (UFSC) - Department of Economics and CUNEF Universidad
Downloads 1,083 (39,263)
Citation 9

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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 de Santa Catarina & CNPq, Federal University of Santa Catarina (UFSC) - Department of Economics and CUNEF Universidad
Downloads 397 (142,057)
Citation 1

Abstract:

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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
CUNEF Universidad and Federal University of Santa Catarina (UFSC) - Department of Economics
Downloads 373 (152,266)
Citation 3

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

5.

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 de Santa Catarina & CNPq, Federal University of Santa Catarina (UFSC) - Department of Economics and affiliation not provided to SSRN
Downloads 259 (223,512)

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

6.

Comparing High Dimensional Conditional Covariance Matrices: Implications for Portfolio Selection

Number of pages: 45 Posted: 14 Aug 2018 Last Revised: 20 Apr 2020
Guilherme V. Moura, Andre A. P. Santos and Esther Ruiz
Federal University of Santa Catarina (UFSC) - Department of Economics, CUNEF Universidad and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 250 (231,562)
Citation 5

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GARCH, Minimum variance portfolio, Mean-variance portfolio, Risk-adjusted returns, Stochastic volatility, Turnover-constrained portfolios

7.

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 de Santa Catarina & CNPq, Federal University of Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and CUNEF Universidad
Downloads 217 (265,230)
Citation 4

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

8.

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 de Santa Catarina & CNPq, Federal University of Santa Catarina (UFSC) - Department of Economics and CUNEF Universidad
Downloads 182 (311,181)
Citation 1

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

9.

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 de Santa Catarina & CNPq, Federal University of Santa Catarina (UFSC) - Department of Economics and CUNEF Universidad
Downloads 162 (344,553)

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Forecast Combinations, Portfolio Optimization, Yield Curve, Bond Returns

10.

Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility

Number of pages: 42 Posted: 23 Aug 2019
University of Stavanger, University of Cologne, Department of Economics, Federal University of Santa Catarina (UFSC) - Department of Economics and University of Stavanger
Downloads 118 (442,417)

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Commodities, Bayesian inference, Dynamic Nelson-Siegel model, State space model, Wishart stochastic volatility

11.

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, Federal University of Santa Catarina (UFSC) - Department of Economics, University of Pittsburgh - Department of Economics and University of Pittsburgh
Downloads 107 (475,579)
Citation 6

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