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Guilherme Valle Moura

Personal Details

First Name:Guilherme
Middle Name:Valle
Last Name:Moura
Suffix:
RePEc Short-ID:pmo897
https://sites.google.com/site/guilhermevallemoura/

Affiliation

Centro Sócio-Econômico
Universidade Federal de Santa Catarina

Florianópolis, Brazil
http://www.cse.ufsc.br/
RePEc:edi:csufsbr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Moura, Guilherme V. & Santos, André A. P. & Ruiz Ortega, Esther, 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Tore Selland Kleppe & Roman Liesenfeld & Guilherme Valle Moura & Atle Oglend, 2019. "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Papers 1908.07798, arXiv.org.
  3. Fabricio Tourrucôo & João F. Caldeira & Guilherme V. Moura & André A. P. Santos, 2016. "Forecasting The Yield Curve With The Arbitrage-Free Dynamic Nelson-Siegel Model: Brazilian Evidence," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 028, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  4. Sidney Martins Caetano & Guilherme Valle Moura, 2014. "Um Modelo Macroeconômico Híbrido Para O Brasil: Um Mix De Modelos Dsge E Var," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 059, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  5. Janine Pessanha De Carvalho & Guilherme Valle Moura, 2014. "Modelo De Fatores Dinâmicos: Estimação E Previsão Da Curva Real De Juros," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 043, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  6. Guilherme Valle Moura & João Frois Caldeira & André Santos, 2014. "Seleção De Carteiras Utilizando O Modelofama-French-Carhart," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 117, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  7. Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 133, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  8. Sidney Martins Caetano & Guilherme Valle Moura, 2011. "Reajuste Informacionalno Brasil: uma aplicação da curva de Phillips sobrigidez de informação," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 54, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  9. Morales-Arias, Leonardo & Moura, Guilherme V., 2010. "A conditionally heteroskedastic global inflation model," Kiel Working Papers 1666, Kiel Institute for the World Economy (IfW Kiel).
  10. Morales-Arias, Leonardo & Moura, Guilherme V., 2010. "A conditionally heteroskedastic global inflation model," Kiel Working Papers 1666, Kiel Institute for the World Economy (IfW Kiel).
  11. Liesenfeld, Roman & Moura, Guilherme V. & Richard, Jean-François, 2009. "Determinants and dynamics of current account reversals: an empirical analysis," Economics Working Papers 2009-04, Christian-Albrechts-University of Kiel, Department of Economics.
  12. DeJong, David Neil & Dharmarajan, Hariharan & Liesenfeld, Roman & Moura, Guilherme V. & Richard, Jean-François, 2009. "Efficient likelihood evaluation of state-space representations," Economics Working Papers 2009-02, Christian-Albrechts-University of Kiel, Department of Economics.
  13. De Lima, Gabrielle & Moura, Guilherme & Meurer, Roberto & Da Silva, Sergio, 2007. "US Current Account Deficit and Exchange Rate Tax," MPRA Paper 3908, University Library of Munich, Germany.
  14. Moura, Guilherme V. & Richard, Jean-François & Liesenfeld, Roman, 2007. "Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation," Economics Working Papers 2007-11, Christian-Albrechts-University of Kiel, Department of Economics.
  15. Guilherme, Moura & Sergio, Da Silva, 2006. "Testing the Equilibrium Exchange Rate Model - Updated," MPRA Paper 1871, University Library of Munich, Germany.
  16. Guilherme Moura & Sergio Da Silva, 2005. "Testing the Equilibrium Exchange Rate Model," International Finance 0505018, University Library of Munich, Germany.
  17. Guilherme Moura & Sergio Da Silva, 2005. "Is There a Brazilian J-Curve?," International Finance 0505001, University Library of Munich, Germany.
  18. Roberto Meurer & Guilherme Moura & Sergio Da Silva, 2005. "Travel Hysteresis in the US Current Account After the Mid-1980s," Economic History 0511002, University Library of Munich, Germany.
  19. Roberto Meurer & Guilherme Moura & Sergio Da Silva, 2005. "Travel Hysteresis in the Brazilian Current Account," International Trade 0509007, University Library of Munich, Germany.
  20. Sidney Caetano & Guilherme Moura & Sergio Da Silva, 2004. "Big Mac Parity, Income, and Trade," International Finance 0407011, University Library of Munich, Germany.

Articles

  1. Fernando H.P.S Mendes & João Frois Caldeira & Guilherme Valle Moura, 2019. "Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle," Economics Bulletin, AccessEcon, vol. 39(1), pages 676-685.
  2. Moura, Guilherme V. & Noriller, Mateus R., 2019. "Maximum likelihood estimation of a TVP-VAR," Economics Letters, Elsevier, vol. 174(C), pages 78-83.
  3. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
  4. João F. Caldeira & Guilherme V. Moura & André A. P. Santos, 2018. "Yield curve forecast combinations based on bond portfolio performance," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 64-82, January.
  5. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
  6. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
  7. João F. Caldeira & Guilherme V. Moura & , Fabricio Tourrucôo, 2016. "Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 17(2), pages 221-237.
  8. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
  9. Guilherme Demos & Thomas Pires & Guilherme Valle Moura, 2015. "Portfolio Optimisation and Endogenous Rebalancing Methods," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(4), pages 544-570.
  10. Geoffrey M. Steeves & Francis Carlo Petterini & Guilherme V. Moura, 2015. "The interiorization of Brazilian violence, policing, and economic growth," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(3), pages 359-375.
  11. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
  12. Caldeira, João F. & Moura, Guilherme V. & Santos, André A. P., 2015. "Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 69(4), December.
  13. Moura, Guilherme Valle, 2015. "Multiplicadores Fiscais e Investimento em Infraestrutura," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 69(1), March.
  14. Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
  15. Moura, Guilherme V. & Turatti, Douglas Eduardo, 2014. "Efficient estimation of conditionally linear and Gaussian state space models," Economics Letters, Elsevier, vol. 124(3), pages 494-499.
  16. Roman Liesenfeld & Guilherme V. Moura & Jean-François Richard & Hariharan Dharmarajan, 2013. "Efficient Likelihood Evaluation of State-Space Representations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 538-567.
  17. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
  18. Leonardo Morales‐Arias & Guilherme V. Moura, 2013. "A conditionally heteroskedastic global inflation model," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 40(4), pages 572-596, August.
  19. Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013. "Seleção de carteiras utilizando o modelo Fama-French-Carhart," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
  20. João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
  21. Gijsbert Suren & Guilherme Moura, 2012. "Heteroskedastic Dynamic Factor Models: A Monte Carlo Study," Economics Bulletin, AccessEcon, vol. 32(4), pages 2884-2898.
  22. Roman Liesenfeld & Guilherme Valle Moura & Jean‐François Richard, 2010. "Determinants and Dynamics of Current Account Reversals: An Empirical Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 486-517, August.
  23. Ricardo Azevedo Araujo & Guilherme V. Moura & Marcelo S. Portugal, 2010. "Efficient Yield Curve Estimation and Forecasting in Brazil," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 11(1), pages 27-51.
  24. Sergio Da Silva & Guilherme Moura, 2005. "Is There a Brazilian J-Curve?," Economics Bulletin, AccessEcon, vol. 6(10), pages 1-17.
  25. Sergio Da Silva & Guilherme Moura & Roberto Meurer, 2005. "Travel hysteresis in the US current account after the mid-1980s," Economics Bulletin, AccessEcon, vol. 14(2), pages 1-10.
  26. Sergio Da Silva & Guilherme Moura & Roberto Meurer, 2005. "Travel hysteresis in the Brazilian current account," Economics Bulletin, AccessEcon, vol. 6(24), pages 1-17.
  27. Sergio Da Silva & Guilherme Moura & Sidney Caetano, 2004. "Big Mac parity, income, and trade," Economics Bulletin, AccessEcon, vol. 6(12), pages 1-8.

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Statistics

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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 10 papers 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.
  1. NEP-ECM: Econometrics (4) 2007-06-30 2009-09-19 2019-09-09 2019-12-09
  2. NEP-CBA: Central Banking (3) 2007-06-30 2009-09-19 2010-12-18
  3. NEP-ETS: Econometric Time Series (3) 2009-09-19 2019-09-09 2019-12-09
  4. NEP-FOR: Forecasting (3) 2010-12-18 2011-11-07 2019-12-09
  5. NEP-IFN: International Finance (3) 2007-02-24 2007-06-30 2007-07-13
  6. NEP-DCM: Discrete Choice Models (2) 2007-06-30 2009-09-19
  7. NEP-DGE: Dynamic General Equilibrium (2) 2009-09-19 2014-03-15
  8. NEP-MAC: Macroeconomics (1) 2010-12-18
  9. NEP-MON: Monetary Economics (1) 2010-12-18
  10. NEP-OPM: Open Economy Macroeconomics (1) 2009-09-19
  11. NEP-ORE: Operations Research (1) 2019-12-09
  12. NEP-RMG: Risk Management (1) 2019-12-09

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