Assistant Professor of Finance
Graduate School of Economics, FGV
Email: ["c" + last name]@fgv.br
Presented at EFA 2008 (Athens), Sofie 2008 (NY), EEA-ESEM 2008 (Milan), AFA 2009 (San Francisco), 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 July 2010) (with J. Graveline and S. Joslin), pdf , revised and resubmited to the Journal of Econometrics .
Presented at Bank of Canada 2006 FI Conference (Montreal), AFA 2007 (Chicago), Lubrafin 2007 (Fortaleza), Sofie 2009 (Geneva, accepted), SAFE 2010 (Verona).
3. "Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators", (2008, revised in July 2010) (with René Garcia). SSRN link, revised and resubmited to Journal of Econometrics .
Presented at the Lubrafin 2009 (Rio de Janeiro), EEA-ESEM 2009 (Barcelona), EFA 2009 (Bergen), SBFIN 2010 (Sao Paulo, scheduled), NFA 2010 (Winnipeg, scheduled).
New version available at SSRN
4. "Forecasting Bond Yields with Segmented Term Structure Models", (2010) (with A. Simonsen, and J. Vicente)
First version coming soon!
5. "Term Structure Movements Implicit in Asian Option Prices ", (2010) (with J. Vicente) pdf, forthcoming at Quantitative Finance .
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)
6. "Macroeconomic Uncertainty, Differences in Beliefs, and Bond Risk Premia." (by A. Buraschi and P. Whelan), SAFE Conference, Verona, June 2010, pdf.
5. "The fourth-quarter consumption growth rate: A pure-macro, not-estimated stock return predictor that works in-smaple and out-of-sample." (by S.V. Moller and J. Rangvid), WFA, Victoria, June 2010, pdf.
4. "Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks" (by S. Joslin, K. Singleton and M. Priebsch), TSE Financial Econometrics Conference, Toulouse, May 2010, 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
1. " Alocacao de Carteiras com Risco de Credito", Brazilian Review of Finance, Vol. 1, 2, (2003), 301-339. (with R. Oliveira) , in Portuguese pdf
2. " Interest Rate Risk Measurement in the Brazilian Sovereign Market", Estudos Economicos, Vol. 34, 2, (2004) (with A. Duarte and C. Fernandes) pdf
3. "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
4. "Pricing and Modeling Credit Derivatives ", Brazilian Review of Econometrics , Vol. 27, (2007), 107-129. (with M. Akat and G. Papanicolaou) pdf
5. " 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
6. "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
7. "Extracting Default Probabilities from Sovereign Bonds", Brazilian Review of Econometrics , Vol. 28, 1, (2008), 77-94. (with B. Meres) pdf