Jose Vicente

Government of the Federative Republic of Brazil - Central Bank of Brazil

P.O. Box 08670

SBS Quadra 3 Bloco B - Edificio-Sede

Brasilia, Distr. Federal 70074-900

Brazil

Ibmec, Rio de Janeiro - IBMEC Business School

SCN Quadra 2, Bloco A, 2nd. floor

Ed. Corporate Financial Center

Brasília, 707712-900

Brazil

SCHOLARLY PAPERS

8

DOWNLOADS

951

SSRN CITATIONS
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Top 30,585

in Total Papers Citations

31

CROSSREF CITATIONS

4

Scholarly Papers (8)

1.

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Journal of Financial Econometrics, Vol. 15, Issue 3, 2017
Number of pages: 58 Posted: 25 Apr 2016 Last Revised: 01 Jun 2021
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 374 (146,998)
Citation 19

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

2.

Forecasting Bond Yields with Segmented Term Structure Models

Journal of Financial Econometrics, Vol. 16, Issue 1, 2017
Number of pages: 51 Posted: 30 Aug 2013 Last Revised: 01 Jun 2021
Princeton University, 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 276 (203,170)
Citation 2

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

3.

The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model

Number of pages: 34 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Princeton University and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 65 (622,366)
Citation 9

Abstract:

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Dynamic models, No-arbitrage, Forecasting, Bond risk premia

4.
Downloads 61 (642,696)
Citation 1

Does Curvature Enhance Forecasting?

Number of pages: 36 Posted: 14 Mar 2018
Princeton University, 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 61 (654,363)
Citation 1

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

5.

Are Interest Rate Options Important for the Assessment of Interest Rate Risk?

Number of pages: 32 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Princeton University and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 50 (704,891)

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Dynamic term structure models, Value at risk, Back-testing procedures, Laplace Transform, Feller processes

6.

Term Structure Movements Implicit in Asian Option Prices

Number of pages: 48 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Princeton University and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 48 (717,519)
Citation 1

Abstract:

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Dynamic term structure models, latent factors, bond risk premium, Asian option pricing

7.

Identifying Volatility Risk Premia from Fixed Income Asian Options

Number of pages: 43 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Princeton University and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 47 (723,898)
Citation 1

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Asian Options, Risk Premium, Dynamic Term Structure Models, Incomplete Markets

8.

Social Welfare Analysis in a Financial Economy with Risk Regulation

Journal of Public Economic Theory Volume 12, Issue 3, pages 561–586, June 2010
Number of pages: 26 Posted: 29 Sep 2013
Jose Vicente and Aloisio Araujo
Government of the Federative Republic of Brazil - Central Bank of Brazil and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 30 (849,364)

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