Details about José Valentim Vicente

Access statistics for papers by José Valentim Vicente.

Last updated 2011-04-08. Update your information in the RePEc Author Service.

Short-id: pvi124

Working Papers

2010

1. Do Inflation-linked Bonds Contain Information about Future Inflation?
   Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
2. Forecasting the Yield Curve with Linear Factor Models
   Working Papers Series, Central Bank of Brazil, Research Department View citations (5)

2009

3. Previsão da Curva de Juros: um modelo estatístico com variáveis macroeconômicas
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
4. Pricing Asian Interest Rate Options with a Three-Factor HJM Model
   Working Papers Series, Central Bank of Brazil, Research Department
5. The role of macroeconomic variables in sovereign risk
   Working Papers Series, Central Bank of Brazil, Research Department
   See also Journal Article The role of macroeconomic variables in sovereign risk, Emerging Markets Review, Elsevier (2010) View citations (9) (2010)

2008

6. Are Interest Rate Options Important for the Assessment of Interest Rate Risk?
   Working Papers Series, Central Bank of Brazil, Research Department View citations (8)
   See also Journal Article Are interest rate options important for the assessment of interest rate risk?, Journal of Banking & Finance, Elsevier (2009) View citations (10) (2009)

2007

7. Does Curvature Enhance Forecasting?
   Working Papers Series, Central Bank of Brazil, Research Department View citations (10)
8. Forecasting Bonds Yields in the Brazilian Fixed Income Market
   Working Papers Series, Central Bank of Brazil, Research Department View citations (5)
   See also Journal Article Forecasting bond yields in the Brazilian fixed income market, International Journal of Forecasting, Elsevier (2008) View citations (22) (2008)
9. Identifying Volatility Risk Premium from Fixed Income Asian Options
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
   See also Journal Article Identifying volatility risk premia from fixed income Asian options, Journal of Banking & Finance, Elsevier (2009) View citations (11) (2009)
10. Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial
    Working Papers Series, Central Bank of Brazil, Research Department View citations (3)
11. Social welfare analysis in a simple financial economy with risk regulation
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
12. The role of no-arbitrage on forecasting: lessons from a parametric term structure model
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
    See also Journal Article The role of no-arbitrage on forecasting: Lessons from a parametric term structure model, Journal of Banking & Finance, Elsevier (2008) View citations (37) (2008)
13. Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial
    Working Papers Series, Central Bank of Brazil, Research Department View citations (4)

2006

14. Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint
    Working Papers Series, Central Bank of Brazil, Research Department
15. Term Structure Movements Implicit in Option Prices
    Working Papers Series, Central Bank of Brazil, Research Department View citations (6)

Journal Articles

2010

1. Social Welfare Analysis in a Financial Economy with Risk Regulation
   Journal of Public Economic Theory, 2010, 12, (3), 561-586
2. The role of macroeconomic variables in sovereign risk
   Emerging Markets Review, 2010, 11, (3), 229-249 View citations (9)
   See also Working Paper The role of macroeconomic variables in sovereign risk, Working Papers Series (2009) (2009)

2009

3. Are interest rate options important for the assessment of interest rate risk?
   Journal of Banking & Finance, 2009, 33, (8), 1376-1387 View citations (10)
   See also Working Paper Are Interest Rate Options Important for the Assessment of Interest Rate Risk?, Working Papers Series (2008) View citations (8) (2008)
4. Identifying volatility risk premia from fixed income Asian options
   Journal of Banking & Finance, 2009, 33, (4), 652-661 View citations (11)
   See also Working Paper Identifying Volatility Risk Premium from Fixed Income Asian Options, Working Papers Series (2007) View citations (1) (2007)

2008

5. Forecasting bond yields in the Brazilian fixed income market
   International Journal of Forecasting, 2008, 24, (3), 490-497 View citations (22)
   See also Working Paper Forecasting Bonds Yields in the Brazilian Fixed Income Market, Working Papers Series (2007) View citations (5) (2007)
6. The role of no-arbitrage on forecasting: Lessons from a parametric term structure model
   Journal of Banking & Finance, 2008, 32, (12), 2695-2705 View citations (37)
   See also Working Paper The role of no-arbitrage on forecasting: lessons from a parametric term structure model, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2007) View citations (1) (2007)