Details about Guilherme Valle Moura

Access statistics for papers by Guilherme Valle Moura.

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Short-id: pmo897

Working Papers

2019

1. Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility
   Papers, arXiv.org
2. Comparing Forecasts of Extremely Large Conditional Covariance Matrices
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2016

3. 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], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] View citations (3)
   See also Journal Article 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] (2016) View citations (3) (2016)

2014

4. 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], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
5. SELEÇÃO DE CARTEIRAS UTILIZANDO O MODELOFAMA-FRENCH-CARHART
   Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
   See also Journal Article Seleção de carteiras utilizando o modelo Fama-French-Carhart, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2013) View citations (2) (2013)
6. 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], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

2011

7. EFFICIENT INTEREST RATECURVE ESTIMATION AND FORECASTING IN BRAZIL
   Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
8. 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], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] View citations (1)

2010

9. A conditionally heteroskedastic global inflation model
   Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (2)
   See also Journal Article A conditionally heteroskedastic global inflation model, Journal of Economic Studies, Emerald Group Publishing Limited (2013) View citations (3) (2013)

2009

10. Determinants and dynamics of current account reversals: an empirical analysis
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (1)
    See also Journal Article Determinants and Dynamics of Current Account Reversals: An Empirical Analysis, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2010) View citations (8) (2010)
11. Efficient Likelihood Evaluation of State-Space Representations
    Working Papers, Czech National Bank, Research and Statistics Department View citations (1)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2009)
    See also Journal Article Efficient Likelihood Evaluation of State-Space Representations, The Review of Economic Studies, Review of Economic Studies Ltd (2013) View citations (9) (2013)

2008

12. Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation
    Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2007) View citations (3)

2007

13. US Current Account Deficit and Exchange Rate Tax
    MPRA Paper, University Library of Munich, Germany

2006

14. Testing the Equilibrium Exchange Rate Model - Updated
    MPRA Paper, University Library of Munich, Germany

2005

15. Is There a Brazilian J-Curve?
    International Finance, University Library of Munich, Germany View citations (17)
    See also Journal Article Is There a Brazilian J-Curve?, Economics Bulletin, AccessEcon (2005) View citations (18) (2005)
16. Testing the Equilibrium Exchange Rate Model
    International Finance, University Library of Munich, Germany View citations (1)
17. Travel Hysteresis in the Brazilian Current Account
    International Trade, University Library of Munich, Germany
    See also Journal Article Travel hysteresis in the Brazilian current account, Economics Bulletin, AccessEcon (2005) View citations (2) (2005)
18. Travel Hysteresis in the US Current Account After the Mid-1980s
    Economic History, University Library of Munich, Germany
    See also Journal Article Travel hysteresis in the US current account after the mid-1980s, Economics Bulletin, AccessEcon (2005) (2005)

2004

19. Big Mac Parity, Income, and Trade
    International Finance, University Library of Munich, Germany View citations (1)
    See also Journal Article Big Mac parity, income, and trade, Economics Bulletin, AccessEcon (2004) View citations (1) (2004)

Journal Articles

2019

1. Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle
   Economics Bulletin, 2019, 39, (1), 676-685
2. Maximum likelihood estimation of a TVP-VAR
   Economics Letters, 2019, 174, (C), 78-83 View citations (5)

2018

3. Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence
   Brazilian Review of Econometrics, 2018, 38, (1)
4. Yield curve forecast combinations based on bond portfolio performance
   Journal of Forecasting, 2018, 37, (1), 64-82 View citations (2)

2017

5. Combining Multivariate Volatility Forecasts: An Economic-Based Approach
   Journal of Financial Econometrics, 2017, 15, (2), 247-285 View citations (12)

2016

6. Bond portfolio optimization using dynamic factor models
   Journal of Empirical Finance, 2016, 37, (C), 128-158 View citations (22)
7. Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence
   Economia, 2016, 17, (2), 221_237 View citations (3)
   See also Working Paper 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] (2016) View citations (3) (2016)
8. Predicting the yield curve using forecast combinations
   Computational Statistics & Data Analysis, 2016, 100, (C), 79-98 View citations (15)

2015

9. Measuring Risk in Fixed Income Portfolios using Yield Curve Models
   Computational Economics, 2015, 46, (1), 65-82 View citations (8)
10. Multiplicadores Fiscais e Investimento em Infraestrutura
    Revista Brasileira de Economia - RBE, 2015, 69, (1) View citations (6)
11. Portfolio Optimisation and Endogenous Rebalancing Methods
    Brazilian Review of Finance, 2015, 13, (4), 544-570
12. Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil
    Revista Brasileira de Economia - RBE, 2015, 69, (4)
13. The interiorization of Brazilian violence, policing, and economic growth
    Economia, 2015, 16, (3), 359_375 View citations (2)

2014

14. Dynamic factor multivariate GARCH model
    Computational Statistics & Data Analysis, 2014, 76, (C), 606-617 View citations (19)
15. Efficient estimation of conditionally linear and Gaussian state space models
    Economics Letters, 2014, 124, (3), 494-499 View citations (3)

2013

16. A conditionally heteroskedastic global inflation model
    Journal of Economic Studies, 2013, 40, (4), 572-596 View citations (3)
    See also Working Paper A conditionally heteroskedastic global inflation model, Kiel Working Papers (2010) View citations (2) (2010)
17. Adaptive forecasting of exchange rates with panel data
    International Journal of Forecasting, 2013, 29, (3), 493-509 View citations (19)
18. Efficient Likelihood Evaluation of State-Space Representations
    The Review of Economic Studies, 2013, 80, (2), 538-567 View citations (9)
    See also Working Paper Efficient Likelihood Evaluation of State-Space Representations, Working Papers (2009) View citations (1) (2009)
19. Seleção de carteiras utilizando o modelo Fama-French-Carhart
    Revista Brasileira de Economia - RBE, 2013, 67, (1) View citations (2)
    See also Working Paper SELEÇÃO DE CARTEIRAS UTILIZANDO O MODELOFAMA-FRENCH-CARHART, Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] (2014) (2014)

2012

20. Heteroskedastic Dynamic Factor Models: A Monte Carlo Study
    Economics Bulletin, 2012, 32, (4), 2884-2898
21. Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market
    Economics Bulletin, 2012, 32, (3), 1848-1857

2010

22. Determinants and Dynamics of Current Account Reversals: An Empirical Analysis
    Oxford Bulletin of Economics and Statistics, 2010, 72, (4), 486-517 View citations (8)
    See also Working Paper Determinants and dynamics of current account reversals: an empirical analysis, Economics Working Papers (2009) View citations (1) (2009)
23. Efficient Yield Curve Estimation and Forecasting in Brazil
    Economia, 2010, 11, (1), 27_51 View citations (4)

2005

24. Is There a Brazilian J-Curve?
    Economics Bulletin, 2005, 6, (10), 1-17 View citations (18)
    See also Working Paper Is There a Brazilian J-Curve?, International Finance (2005) View citations (17) (2005)
25. Travel hysteresis in the Brazilian current account
    Economics Bulletin, 2005, 6, (24), 1-17 View citations (2)
    See also Working Paper Travel Hysteresis in the Brazilian Current Account, International Trade (2005) (2005)
26. Travel hysteresis in the US current account after the mid-1980s
    Economics Bulletin, 2005, 14, (2), 1-10
    See also Working Paper Travel Hysteresis in the US Current Account After the Mid-1980s, Economic History (2005) (2005)

2004

27. Big Mac parity, income, and trade
    Economics Bulletin, 2004, 6, (12), 1-8 View citations (1)
    See also Working Paper Big Mac Parity, Income, and Trade, International Finance (2004) View citations (1) (2004)