Axel Simonsen

Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças

Praia de Botafogo 190/1125, CEP

Rio de Janeiro RJ 22253-900

Brazil

SCHOLARLY PAPERS

3

DOWNLOADS

210

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Forecasting Bond Yields with Segmented Term Structure Models

Number of pages: 51 Posted: 30 Aug 2013 Last Revised: 14 Dec 2016
Getulio Vargas Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 182 (166,699)
Citation 2

Abstract:

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Preferred-Habitat Theory, Error Correction Models, Model Selection, Exponential Splines, Local Shocks

2.

A Note on the Robustness of Diebold and Li's Forecasting Results

Number of pages: 19 Posted: 07 Jun 2018
Axel Simonsen and João Marco Braga da Cunha
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Opus Genial Gestão de Patrimônio
Downloads 14 (561,595)

Abstract:

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Term Structure, Yield Curve, Yield Forecast, Forecast Methodology

3.
Downloads 14 (561,595)
Citation 1

Does Curvature Enhance Forecasting?

Number of pages: 36 Posted: 14 Mar 2018
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil, Government of the Federative Republic of Brazil - Central Bank of Brazil, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 14 (583,728)
Citation 1

Abstract:

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Parametric Term Structure Models, Principal Components, Vector Autoregressive Models, Interest Rate Mean Forecasting