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A hybrid spline-based parametric model for the yield curve
(Elsevier B.V., 2018)
Empirical evidence indicates that both nominal and real yield curves in important markets have segmentation between their short end and their longer-maturity segments. This segmentation might affect term structure estimation, ...
Forecasting bond yields with segmented term structure models
(Banco Central do Brasil, 2018-02)
Inspired by the preferred habitat theory, we propose parametric interest rate models that split the term structure into segments. The proposed models are compared with successful term structure benchmarks based on out-of-sample ...
Exponential family Fisher vector for image classification
(Elsevier Science, 2015-07)
One of the fundamental problems in image classification is to devise models that allow us to relate the images to higher-level semantic concepts in an efficient and reliable way. A widely used approach consists on extracting ...
Essays in empirical finance
(2017-03-16)
This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure ...
Transport of chaotic trajectories from regions distant from or near to structures of regular motion of the Fermi-Ulam model
(2016-10-13)
The chaotic portion of phase space of the simplified Fermi-Ulam model is studied under the context of transport of trajectories in two scenarios: (i) the trajectories are originated from a region distant from the islands ...
Estrutura a termo de taxa de juros brasileira: investigando a presença de não linearidade
(2011-08-08)
Esta dissertação tem com objetivo avaliar uma das implicações da hipótese de expectativas para a estrutura a termo de taxa de juros brasileira. Utilizando testes lineares tradicionais e através da reprodução de testes não ...
Does curvature enhance forecasting?
(Banco Central do Brasil, 2008)
In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rates. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor ...
Cosmological models in semi-classical and higher order gravitational theories
(Springer, 2000-03)
We have studied semiclassical models with a classical scalar field, giving exact solutions in the cases of a λ φ4 and an exponential self-interaction potential, in the last case we have also studied the influence of the ...
Estrutura a termo de volatilidade no mercado brasileiro e aplicação para risco de mercado
(2014-01-29)
Com o objetivo de analisar o impacto na Estrutura a Termos de Volatilidade (ETV) das taxas de juros utilizando dois diferentes modelos na estimação da Estrutura a Termo das Taxas de Juros (ETTJ) e a suposição em relação a ...