Graduate School of Economics, FGV
Email: [initial of my first name + complete last name]@fgv.br
Presented at AFA 2009 (San Francisco), EFA 2008 (Athens), Sofie 2008 (NY), EEA-ESEM 2008 (Milan), among others.
Circulated before under the title "Empirical Likelihood Estimators for Stochastic Discount Factors"
2. "Do Interest Rate Options Contain Information About Excess Returns?", (2005, last revised in Oct 2008) (with J. Graveline and S. Joslin), pdf , revise and resubmit at Journal of Econometrics .
Presented at AFA 2007 (Chicago), Bank of Canada 2006 Fixed Income Conference, accepted at Sofie 2009 (Geneva).
New version coming soon!
3. "Term Structure Movements Implicit in Asian Option Prices ", (2006, last revised in Sep 2009) (with J. Vicente) pdf, revised and resubmited to Quantitative Finance .
4. "Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators", (2008) (with René Garcia). SSRN link, revise and resubmit at Journal of Econometrics .
Presented at the Lubrafin (2009), EEA-ESEM 2009 (Barcelona), and at the EFA 2009 (Bergen).
New version coming soon!
5. "A Term Structure Forecasting Model Under the Preferred Habitat Hypothesis", (2009) (with A. Simonsen)
First version coming soon!
6. "Does Curvature Enhance Forecasting? ", International J. of Theoretical and Applied Finance , Vol. 12, 8, (2009), 1171-1196 (with R. Gomes, A. Leite, A. Simonsen, and J. Vicente), pdf,
7. " Are Interest Rate Options Important for the Assessment of Interest Rate Risk?", Journal of Banking and Finance , Vol. 33, 7, (2009), 1376-1387 (with J. Vicente) pdf
(Online Appendix: pdf)
8. "Identifying Volatility Risk Premia from Fixed Income Asian Options ", Journal of Banking and Finance , Vol. 33, 4, (2009), 652-661. (with J. Vicente) pdf
(Online Appendix: pdf)
9. "The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model ", Journal of Banking and Finance , Vol. 32, 12, (2008), 2695-2705. (with J. Vicente) pdf
(Online Appendix: pdf)
10. "Stochastic Volatility Models and Option Pricing in Brazilian Stock Markets: An Empirical Investigation", Journal of Emerging Markets Finance , Vol. 4, 2, (2005), 169-206. (with S. Dana) pdf
11. " Affine Processes, Arbitrage-Free Term Structures of Legendre Polynomials and Option Pricing", International Journal of Theoretical and Applied Finance , Vol. 8, 2, (2005), pdf
12. " Time-Varying Risk Premia in Emerging Markets: Explanation by a Multi-Factor Affine Term Structure Model", International Journal of Theoretical and Applied Finance , Vol. 7, 7, (2004), 919-947. pdf
13. "A Generalization of Principal Components Analysis for Non-Observable Term Structures in Emerging Markets", International Journal of Theoretical and Applied Finance , Vol. 6, 8, (2003), 885-903. (with A. Duarte and C. Fernandes) pdf
14. "Credit Spread Arbitrages in Emerging Eurobond Markets", Journal of Fixed Income , 2, (2000), 100-111. (with A. Duarte and C. Fernandes) pdf
15. "Decomposing and Simulating the Movements of Term Structures in Emerging Eurobonds Markets", Journal of Fixed Income , 1, (1998), 21-31. (with A. Duarte and C. Fernandes)
16. " Alocacao de Carteiras com Risco de Credito", Brazilian Review of Finance, Vol. 1, 2, (2003), 301-339. (with R. Oliveira) , in Portuguese pdf
17. " Interest Rate Risk Measurement in the Brazilian Sovereign Market", Estudos Economicos, Vol. 34, 2, (2004) (with A. Duarte and C. Fernandes) pdf
18. "A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models", Brazilian Review of Econometrics , Vol. 25, 1, (2005), 89-114. pdf
19. "Pricing and Modeling Credit Derivatives ", Brazilian Review of Econometrics , Vol. 27, (2007), 107-129. (with M. Akat and G. Papanicolaou) pdf
20. " Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial", Brazilian Review of Finance, Vol. 5, 1, (2007). (with F. Pinheiro, and J. Vicente), in Portuguese pdf
21. "Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial ", (in Portuguese), Revista Brasileira de Economia , Vol. 62, 4, (2008), 497-510. (with R. Gomes, A. Leite and J. Vicente) pdf
22. "Extracting Default Probabilities from Sovereign Bonds", Brazilian Review of Econometrics , Vol. 28, 1, (2008), 77-94. (with B. Meres) pdf
3. How Useful Are No-Arbitrage Restrictions for Forecasting the Term Structure of Interest Rates? ( By R. Giacomini and A. Carriero), Brazilian Meeting of Finance, 2008, Rio de Janeiro. pdf
2. Estimating Asset Correlations from Stock Prices or Default Rates – Which Method is Superior? (By K. Duellmann, J. Kull and M. Kunisch), EFMA Risk and Asset Management Symposium, 2008, Nice. pdf
1. Affine Term Structure Models, Volatility, and the Segmentation Hypothesis (by K. Jacobs and L. Karoui), NFA, 2006, Montreal. pdf