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Details about José Valentim Vicente

Workplace:Banco Central do Brasil (Central Bank of Brazil), (more information at EDIRC)
IBMEC Business School - Rio de Janeiro, (more information at EDIRC)

Access statistics for papers by José Valentim Vicente.

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

Short-id: pvi124


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Working Papers

2010

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

2009

  1. Are Interest Rate Options Important for the Assessment of Interest Rate Risk?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (8)
    See also Journal Article in Journal of Banking & Finance (2009)
  2. Previsão da Curva de Juros: um modelo estatístico com variáveis macroeconômicas
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
  3. Pricing Asian Interest Rate Options with a Three-Factor HJM Model
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  4. The role of macroeconomic variables in sovereign risk
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Emerging Markets Review (2010)

2007

  1. Does Curvature Enhance Forecasting?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (10)
  2. Forecasting Bonds Yields in the Brazilian Fixed Income Market
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (5)
    See also Journal Article in International Journal of Forecasting (2008)
  3. Identifying Volatility Risk Premium from Fixed Income Asian Options
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2009)
  4. 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 Downloads View citations (3)
  5. 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) Downloads
  6. 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) Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2008)
  7. Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)

2006

  1. Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. Term Structure Movements Implicit in Option Prices
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (7)

Journal Articles

2010

  1. Social Welfare Analysis in a Financial Economy with Risk Regulation
    Journal of Public Economic Theory, 2010, 12, (3), 561-586 Downloads
  2. The role of macroeconomic variables in sovereign risk
    Emerging Markets Review, 2010, 11, (3), 229-249 Downloads View citations (5)
    See also Working Paper (2009)

2009

  1. Are interest rate options important for the assessment of interest rate risk?
    Journal of Banking & Finance, 2009, 33, (8), 1376-1387 Downloads View citations (8)
    See also Working Paper (2009)
  2. Identifying volatility risk premia from fixed income Asian options
    Journal of Banking & Finance, 2009, 33, (4), 652-661 Downloads View citations (11)
    See also Working Paper (2007)

2008

  1. Forecasting bond yields in the Brazilian fixed income market
    International Journal of Forecasting, 2008, 24, (3), 490-497 Downloads View citations (14)
    See also Working Paper (2007)
  2. The role of no-arbitrage on forecasting: Lessons from a parametric term structure model
    Journal of Banking & Finance, 2008, 32, (12), 2695-2705 Downloads View citations (33)
    See also Working Paper (2007)
 
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