Jorge Barros Luis
Personal Details
First Name: | Jorge |
Middle Name: | Barros |
Last Name: | Luis |
Suffix: | |
RePEc Short-ID: | plu519 |
| |
https://www.iseg.ulisboa.pt/pt/faculty/jorge-barros-luis/ | |
Terminal Degree: | 1990 Departamento de Gestão; Instituto Superior de Economia e Gestão (ISEG); Universidade de Lisboa (from RePEc Genealogy) |
Affiliation
Instituto Superior de Economia e Gestão (ISEG)
Universidade de Lisboa
Lisboa, Portugalhttp://www.iseg.ulisboa.pt/
RePEc:edi:isutlpt (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Barros Luís, Jorge & Cassola, Nuno, 2001.
"A two-factor model of the German term structure of interest rates,"
Working Paper Series
46, European Central Bank.
- Cassola, N. & Luis, J.B., 2001. "A Two-Factor Model of the German Term Structure of Interest Rates," Papers 46, Quebec a Montreal - Recherche en gestion.
- Jorge Barros Luís, 2000. "The Estimation of Risk Premium Implicit in Oil Prices," Working Papers w200002, Banco de Portugal, Economics and Research Department.
Articles
RePEc:ptu:bdpart:b199707 is not listed on IDEAS
RePEc:taf:apfiec:v:10:y:2000:i:2:p:155-161 is not listed on IDEAS
RePEc:ptu:bdpart:b199713 is not listed on IDEAS
RePEc:taf:apfiec:v:13:y:2003:i:11:p:783-806 is not listed on IDEAS
RePEc:ptu:bdpart:b199806 is not listed on IDEAS
RePEc:ptu:bdpart:b199702 is not listed on IDEAS
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Barros Luís, Jorge & Cassola, Nuno, 2001.
"A two-factor model of the German term structure of interest rates,"
Working Paper Series
46, European Central Bank.
- Cassola, N. & Luis, J.B., 2001. "A Two-Factor Model of the German Term Structure of Interest Rates," Papers 46, Quebec a Montreal - Recherche en gestion.
Cited by:
- Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
- De Rossi, Giuliano, 2004. "Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 277-308, March.
- Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.
- Lemke, Wolfgang, 2007.
"An affine macro-finance term structure model for the euro area,"
Discussion Paper Series 1: Economic Studies
2007,13, Deutsche Bundesbank.
- Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
- Halberstadt, Arne & Stapf, Jelena, 2012. "An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises," Discussion Papers 25/2012, Deutsche Bundesbank.
- Viktors Ajevskis & Kristine Vitola, 2006. "A Factor Model of the Term Structure of Interest Rates and Risk Premium Estimation for Latvia's Money Market," Working Papers 2006/01, Latvijas Banka.
- Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank.
- Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
- Bao, Jianhai & Yuan, Chenggui, 2013. "Long-term behavior of stochastic interest rate models with jumps and memory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 266-272.
- Minoas Koukouritakis & Leo Michelis, 2008. "The term structure of interest rates in the 12 newest EU countries," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 479-490.
- Fendel, Ralf, 2008. "A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 4(1-2), pages 1-19.
- Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, December.
- Francisco Jareno, 2008. "Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3159-3171.
- Nymand-Andersen, Per, 2018. "Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves," Statistics Paper Series 27, European Central Bank.
Articles
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Sorry, no citations of articles recorded.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FMK: Financial Markets (1) 2001-04-21
- NEP-MON: Monetary Economics (1) 2001-04-21
Corrections
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