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Forecasting Bonds Yields in the Brazilian Fixed Income Market

Citations

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Cited by:

  1. Montes, Gabriel Caldas & Maia, João Pedro Neves, 2023. "Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  2. Tabak, B.M. & Sollaci, A.B. & Gomes, G.M. & Cajueiro, D.O., 2012. "Forecasting the yield curve for the Euro region," Economics Letters, Elsevier, vol. 117(2), pages 513-516.
  3. Solange Gouvea, 2007. "Price Rigidity in Brazil: Evidence from CPI Micro Data," Working Papers Series 143, Central Bank of Brazil, Research Department.
  4. Leo Krippner, 2009. "A theoretical foundation for the Nelson and Siegel class of yield curve models," Reserve Bank of New Zealand Discussion Paper Series DP2009/10, Reserve Bank of New Zealand.
  5. Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando, 2017. "Forecasting the Brazilian yield curve using forward-looking variables," International Journal of Forecasting, Elsevier, vol. 33(1), pages 121-131.
  6. Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
  7. Renata Tavanielli & Márcio Laurini, 2023. "Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market," Mathematics, MDPI, vol. 11(11), pages 1-28, June.
  8. Rui Chen & Jiri Svec & Maurice Peat, 2016. "Forecasting the Government Bond Term Structure in Australia," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 99-111, June.
  9. Yifeng Yan & Ju'e Guo, 2015. "The Sovereign Yield Curve and the Macroeconomy in China," Pacific Economic Review, Wiley Blackwell, vol. 20(3), pages 415-441, August.
  10. Ricardo Schechtman, 2017. "Joint Validation of Credit Rating PDs under Default Correlation," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 235-282, June.
  11. Almeida, Caio & Gomes, Romeu & Leite, André & Vicente, José, 2008. "Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(4), December.
  12. Piero C. Kauffmann & Hellinton H. Takada & Ana T. Terada & Julio M. Stern, 2022. "Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks," Econometrics, MDPI, vol. 10(2), pages 1-15, March.
  13. Dauwe, Alexander & Moura, Marcelo L., 2011. "Forecasting the term structure of the Euro Market using Principal Component Analysis," Insper Working Papers wpe_233, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  14. Leo Krippner, 2011. "Modifying Gaussian term structure models when interest rates are near the zero lower bound," CAMA Working Papers 2011-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  15. Thiago Christiano Silva & Solange Maria Guerra & Michel Alexandre da Silva & Benjamin Miranda Tabak, 2018. "Interconnectedness, Firm Resilience and Monetary Policy," Working Papers Series 478, Central Bank of Brazil, Research Department.
  16. Aryo Sasongko & Cynthia Afriani Utama & Buddi Wibowo & Zaäfri Ananto Husodo, 2019. "Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 957-1003, October.
  17. Mr. Rodrigo Cabral & Mr. Richard Munclinger & Mr. Luiz Alves & Mr. Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 2011/113, International Monetary Fund.
  18. Eduardo Mineo & Airlane Pereira Alencar & Marcelo Moura & Antonio Elias Fabris, 2020. "Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines," JRFM, MDPI, vol. 13(4), pages 1-14, April.
  19. Fernandes, Marcelo & Nunes, Clemens & Reis, Yuri, 2021. "What Drives the Nominal Yield Curve in Brazil?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(2), April.
  20. Yasir Riaz & Choudhry T. Shehzad & Zaghum Umar, 2021. "The sovereign yield curve and credit ratings in GIIPS," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 895-916, September.
  21. Makram El-Shagi & Lunan Jiang, 2019. "Efficient Dynamic Yield Curve Estimation in Emerging Financial Markets," CFDS Discussion Paper Series 2019/4, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
  22. Leite, André Luís & Filho, Romeu Braz Pereira Gomes & Vicente, José Valentim Machado, 2010. "Forecasting the yield curve: A statistical model with market survey data," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 108-112, March.
  23. Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.
  24. Alexander Dauwe & Marcelo L. Moura, 2011. "Forecasting the term structure of the Euro Market using Principal Component Analysis," Business and Economics Working Papers 135, Unidade de Negocios e Economia, Insper.
  25. David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
  26. Marco Shinobu Matsumura & Ajax Reynaldo Bello Moreira & José Valentim Machado Vicente, 2010. "Forecasting the Yield Curve with Linear Factor Models," Working Papers Series 223, Central Bank of Brazil, Research Department.
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