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Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados

Listed author(s):
  • Laurini, Márcio Poletti
  • Hotta, Luiz Koodi

Neste artigo propomos modelos de fatores latentes para realizar a modelagem conjunta de curvas de juros em múltiplos mercados, generalizando diversos modelos existentes na literatura de estimação da estrutura a termo de taxas de juros. Os modelos propostos não precisam assumir as restrições usuais de estimação e identificação, e assim possibilitam o uso de estruturas mais flexíveis com a incorporação de fatores latentes adicionais, volatilidade estocástica e a imposição de consistência com não-arbitragem. A eliminação destas restrições é possível através da metodologia de estimação Bayesiana através de Markov Chain Monte Carlo (MCMC). Esta metodologia permite obter intervalos de credibilidade exatos para os parâmetros, fatores latentes e previsões, e também permite tratar os problemas de identificação e dimensionalidade existentes na estimação de modelos multimercados. Realizamos uma aplicação com a modelagem conjunta de curvas de Cupom Cambial e Eurodólares, realizando um procedimento extensivo de comparação de modelos e mostrando o potencial preditivo e prático dos modelos propostos.

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File URL: http://www.insper.edu.br/sites/default/files/2009_wpe169.pdf
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Paper provided by Insper Working Paper, Insper Instituto de Ensino e Pesquisa in its series Insper Working Papers with number wpe_161.

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Date of creation: Oct 2009
Handle: RePEc:ibm:ibmecp:wpe_161
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