João Caldeira
João Caldeira
Professor of Economics, UFRGS
Verified email at ufrgs.br
TitleCited byYear
Selection of a portfolio of pairs based on cointegration: A statistical arbitrage strategy
J Caldeira, GV Moura
Available at SSRN 2196391, 2013
742013
Capital structure, cash holdings and firm value: a study of Brazilian listed firms
TR Loncan, JF Caldeira
Revista Contabilidade & Finanças 25 (64), 46-59, 2014
49*2014
Seleção de carteiras utilizando o modelo Fama-French-Carhart
JF Caldeira, GV Moura, AAP Santos
Revista Brasileira de Economia 67 (1), 45-65, 2013
262013
Efficient Yield Curve Estimation and Forecasting in Brazil
JF Caldeira, GV Moura, MS Portugal
Revista EconomiA 8 (1), 2010
262010
Estratégia Long-Short, Neutra ao Mercado, e Index Tracking Baseadas em Portfólios Cointegrados
JF Caldeira, MS Portugal
Revista Brasileira de Finanças 8 (4), 469-504, 2010
22*2010
Bond portfolio optimization using dynamic factor models
JF Caldeira, GV Moura, AAP Santos
Journal of Empirical Finance 37, 128-158, 2016
19*2016
Can we predict the financial markets based on Google's search queries?
MS Perlin, JF Caldeira, AAP Santos, M Pontuschka
Journal of Forecasting 36 (4), 454-467, 2017
172017
Predicting the yield curve using forecast combinations
JF Caldeira, GV Moura, AAP Santos
Computational Statistics & Data Analysis 100, 79-98, 2016
162016
Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility
JF Caldeira, MP Laurini, MS Portugal
Brazilian Review of Econometrics 30 (1), 123-161, 2010
16*2010
Forecasting the US Term Structure of Interest Rates Using Nonparametric Functional Data Analysis
JÃ Caldeira, H Torrent
Journal of Forecasting 36 (1), 56-73, 2017
13*2017
Portfolio selection based on factorial heteroskedastic models: application to fund of funds
JF Caldeira, GV Moura, AAP Santos, C Tessari
RAM. Revista de Administração Mackenzie 15 (2), 127-161, 2014
12*2014
Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection
LR Sant’Anna, TP Filomena, JF Caldeira
The Quarterly Review of Economics and Finance 65, 146-157, 2017
112017
Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms
TR Loncan, JF Caldeira
Estudos Econômicos (São Paulo) 45 (4), 859-895, 2015
112015
Measuring risk in fixed income portfolios using yield curve models
JF Caldeira, GV Moura, AAP Santos
Computational Economics 46 (1), 65-82, 2015
102015
Análise de estilo dinâmica de fundos multimercados: aplicação para o mercado brasileiro
IG Schutt, JF Caldeira
Análise Econômica 34 (65), 2013
102013
Selection of a portfolio of pairs based on cointegration: The brazilian case
JF Caldeira, GV Moura
Federal University of Rio Grande do Sul, Federal University of Santa …, 2012
92012
ESTIMAÇÃO DA ESTRUTURA A TERMO DA CURVA DE JUROS NO BRASIL ATRAVÉS DE MODELOS PARAMÉTRICOS E NÃO PARAMÉTRICOS
JF Caldeira
Análise Econômica 29 (55), 95-122, 2011
82011
Combining multivariate volatility forecasts: an economic-based approach
JF Caldeira, GV Moura, FJ Nogales, AAP Santos
Journal of Financial Econometrics 15 (2), 247-285, 2017
72017
Inflação implícita e o prêmio pelo risco: uma alternativa aos modelos VAR na previsão para o IPCA
JF Caldeira, LGC Furlani
Estudos Econômicos (São Paulo) 43 (4), 627-645, 2013
62013
Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado
UC Zabot, SM Caetano, JF Caldeira
Economia Aplicada 17 (2), 227-249, 2013
62013
The system can't perform the operation now. Try again later.
Articles 1–20