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Details about Guilherme Valle Moura

E-mail:
Homepage:https://sites.google.com/site/guilhermevallemoura/
Workplace:Centro Sócio-Econômico (Socio-Economic Centre), Universidade Federal de Santa Catarina (Federal University of Sanata Catarina), (more information at EDIRC)

Access statistics for papers by Guilherme Valle Moura.

Last updated 2020-01-23. Update your information in the RePEc Author Service.

Short-id: pmo897


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Working Papers

2019

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

2016

  1. 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] Downloads View citations (2)
    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) Downloads View citations (2) (2016)

2014

  1. 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] Downloads
  2. 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] Downloads
    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) Downloads View citations (2) (2013)
  3. 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] Downloads

2011

  1. 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] Downloads
  2. 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] Downloads View citations (1)

2010

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

2009

  1. Determinants and dynamics of current account reversals: an empirical analysis
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads 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) Downloads View citations (7) (2010)
  2. Efficient Likelihood Evaluation of State-Space Representations
    Working Papers, Czech National Bank Downloads View citations (1)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2009) Downloads

    See also Journal Article Efficient Likelihood Evaluation of State-Space Representations, The Review of Economic Studies, Review of Economic Studies Ltd (2013) Downloads View citations (9) (2013)

2008

  1. 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] Downloads
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2007) Downloads View citations (3)

2007

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

2006

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

2005

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

2004

  1. Big Mac Parity, Income, and Trade
    International Finance, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article Big Mac parity, income, and trade, Economics Bulletin, AccessEcon (2004) Downloads 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 Downloads
  2. Maximum likelihood estimation of a TVP-VAR
    Economics Letters, 2019, 174, (C), 78-83 Downloads View citations (5)

2018

  1. 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) Downloads
  2. Yield curve forecast combinations based on bond portfolio performance
    Journal of Forecasting, 2018, 37, (1), 64-82 Downloads View citations (2)

2017

  1. Combining Multivariate Volatility Forecasts: An Economic-Based Approach
    Journal of Financial Econometrics, 2017, 15, (2), 247-285 Downloads View citations (11)

2016

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

2015

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

2014

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

2013

  1. A conditionally heteroskedastic global inflation model
    Journal of Economic Studies, 2013, 40, (4), 572-596 Downloads View citations (3)
    See also Working Paper A conditionally heteroskedastic global inflation model, Kiel Working Papers (2010) Downloads View citations (2) (2010)
  2. Adaptive forecasting of exchange rates with panel data
    International Journal of Forecasting, 2013, 29, (3), 493-509 Downloads View citations (19)
  3. Efficient Likelihood Evaluation of State-Space Representations
    The Review of Economic Studies, 2013, 80, (2), 538-567 Downloads View citations (9)
    See also Working Paper Efficient Likelihood Evaluation of State-Space Representations, Working Papers (2009) Downloads View citations (1) (2009)
  4. Seleção de carteiras utilizando o modelo Fama-French-Carhart
    Revista Brasileira de Economia - RBE, 2013, 67, (1) Downloads 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) Downloads (2014)

2012

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

2010

  1. Determinants and Dynamics of Current Account Reversals: An Empirical Analysis
    Oxford Bulletin of Economics and Statistics, 2010, 72, (4), 486-517 Downloads View citations (7)
    See also Working Paper Determinants and dynamics of current account reversals: an empirical analysis, Economics Working Papers (2009) Downloads View citations (1) (2009)
  2. Efficient Yield Curve Estimation and Forecasting in Brazil
    Economia, 2010, 11, (1), 27_51 Downloads View citations (4)

2005

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

2004

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