Hudson Torrent

Universidade Federal do Rio Grande do Sul (UFRGS) - Department of Statistics

Hudson Torrent

Instituto de Matemática - UFRGS

Av. Bento Gonçalves, 9500 - Prédio 43-111 - Agrono

Porto Alegre, RS 91509-900

Brazil

SCHOLARLY PAPERS

3

DOWNLOADS

266

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

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 de Santa Catarina & CNPq and Universidade Federal do Rio Grande do Sul (UFRGS) - Department of Statistics
Downloads 210 (180,837)
Citation 2

Abstract:

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Term structure estimation, factor models, nonparametric method, Interest rate forecasting, Kalman filter

2.

Semiparametric Portfolios: Improving Portfolio Performance by Exploiting Non-Linearities in Firm Characteristics

Number of pages: 46 Posted: 23 Apr 2021 Last Revised: 06 Jul 2021
João Caldeira, Andre A. P. Santos and Hudson Torrent
Universidade Federal de Santa Catarina & CNPq, University of Edinburgh - Edinburgh Business School and Universidade Federal do Rio Grande do Sul (UFRGS) - Department of Statistics
Downloads 44 (500,805)

Abstract:

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Penalized splines; Portfolio turnover; Risk-adjusted returns; Sharpe ratios.

3.

Convergence of the Local Linear Estimator for a Generalized Regression Function With Heterogeneous Dependent Functional Data

Number of pages: 29 Posted: 08 Jul 2021 Last Revised: 02 Sep 2021
Danilo Matsuoka and Hudson Torrent
Research Group of Applied Microeconomics, Federal University of Rio Grande and Universidade Federal do Rio Grande do Sul (UFRGS) - Department of Statistics
Downloads 12 (696,173)

Abstract:

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Almost complete convergence, Local linear estimator, Functional data, Mixing, Nonparametric regression