João Caldeira

Universidade Federal do Rio Grande do Sul (UFRGS)

Av. Carlos Gomes 1111

Porto Alegre, Rio Grande do Sul 90480-004

Brazil

SCHOLARLY PAPERS

16

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CITATIONS
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16

Scholarly Papers (16)

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 3,741 (2,451)
Citation 5

Abstract:

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statistical arbitrage, pairs trading, cointegration, market neutral strategy

2.

Capital Structure, Cash Holdings and Firm Value: A Study of Brazilian Listed Firms

Number of pages: 40 Posted: 22 Sep 2013
João Caldeira and Tiago Loncan
Universidade Federal do Rio Grande do Sul (UFRGS) and University of Strathclyde, Department of Accounting and Finance, Students
Downloads 772 (30,805)
Citation 2

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Capital Structure, Cash Holdings, Firm Value

3.

Bond Portfolio Optimization Using Dynamic Factor Models

Number of pages: 49 Posted: 07 Jun 2012 Last Revised: 23 Nov 2015
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 710 (34,517)
Citation 5

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

4.

Mixed Copula Pairs Trading Strategy on the S&P 500

Number of pages: 31 Posted: 22 Nov 2017 Last Revised: 24 Feb 2019
Federal University of Rio Grande do Sul (UFRGS) - Statistics Department, Flávio Ziegemann and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 458 (60,990)

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Pairs Trading, Copula, Distance Long-Short, Quantitative Strategies, S&P 500, Statistical Arbitrage.

5.

Can We Predict the Financial Markets Based on Google's Search Queries?

Number of pages: 24 Posted: 17 Nov 2014 Last Revised: 14 Sep 2016
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 424 (66,966)
Citation 2

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market microstructure, investor attention, google trends, internet search volume

6.

Measuring Risk in Fixed Income Portfolios Using Yield Curve Models

Number of pages: 28 Posted: 18 Aug 2013
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 337 (87,566)

Abstract:

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

7.

Forecasting the U.S. Term Structure of Interest Rates using Nonparametric Functional Data Analysis

Number of pages: 21 Posted: 07 Jun 2012 Last Revised: 03 Jul 2016
João Caldeira and Hudson Torrent
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS) - Department of Statistics
Downloads 200 (149,845)
Citation 3

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Term structure estimation, factor models, nonparametric method, Interest rate forecasting, 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 171 (172,717)
Citation 3

Abstract:

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

9.

Predicting the Yield Curve Using Forecast Combinations

Number of pages: 34 Posted: 18 Aug 2013
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 126 (221,869)
Citation 2

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

10.

Efficient Yield Curve Estimation and Forecasting in Brazil

Revista Economia, January/April 2010
Number of pages: 25 Posted: 21 Jun 2012
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and affiliation not provided to SSRN
Downloads 125 (223,210)
Citation 3

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

11.

Risk Parity in the Brazilian Market

Economics Bulletin, Volume 37, Issue 3, pages 1555-1566
Number of pages: 13 Posted: 19 Jul 2017
Getulio Vargas Foundation (FGV), Sao Paulo School of Business Administration, Students , Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Federal University of Rio Grande do Sul (UFRGS/PPGA), Management School and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 116 (236,059)

Abstract:

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risk parity, brazilian market, covariance matrix

12.

Yield Curve Forecast Combinations Based on Bond Portfolio Performance

Journal of Forecasting, Forthcoming
Number of pages: 33 Posted: 29 Mar 2017
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 74 (315,311)

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Forecast Combinations, Portfolio Optimization, Yield Curve, Bond Returns

13.

Break-Even Inflation Rate and the Risk Premium: An Alternative Approach to the VAR Models in Forecasting the CPI

Number of pages: 12 Posted: 08 Jul 2013
João Caldeira and Luiz Furlani
Universidade Federal do Rio Grande do Sul (UFRGS) and Independent
Downloads 69 (327,670)

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break-even inflation rate, inflation expectations, inflation

14.

The Role of Taxes and the Interdependence Among Corporate Financial Policies: Evidence from a Natural Experiment

Number of pages: 32 Posted: 07 Jul 2016
Jefferson Colombo and João Caldeira
The COPPEAD Graduate School of Business and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 61 (349,265)

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taxation; dividend policy; interdependence of corporate financial decisions; natural experiment

15.

Foreign Portfolio Capital Flows and Stock Returns: A Study of Brazilian Listed Firms

Number of pages: 33 Posted: 10 Apr 2015
Tiago Loncan and João Caldeira
University of Strathclyde, Department of Accounting and Finance, Students and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 43 (407,845)

Abstract:

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Foreign Portfolio Capital Flows, Stock Returns, Arbitrage Pricing Theory.

16.

Investigating the Expectation Hypothesis and the Risk Premium Dynamics: New Evidence for Brazil

Number of pages: 22 Posted: 29 Jan 2019
João Caldeira
Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 32 (451,959)

Abstract:

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Expectation Hypothesis, Bond Risk Premia, Factor Models, Excess Return Predictability, Out-of-Sample Forecasts