| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
23 |
| A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models |
0 |
0 |
0 |
6 |
1 |
2 |
4 |
33 |
| A Polynomial Term Structure Model with Macroeconomic Variables |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
21 |
| A hybrid spline-based parametric model for the yield curve |
0 |
1 |
1 |
16 |
0 |
1 |
5 |
106 |
| AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING |
0 |
0 |
0 |
3 |
0 |
1 |
5 |
26 |
| An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
117 |
| Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
25 |
| Are interest rate options important for the assessment of interest rate risk? |
0 |
0 |
0 |
33 |
0 |
0 |
1 |
155 |
| Assessing misspecified asset pricing models with empirical likelihood estimators |
0 |
0 |
4 |
69 |
0 |
0 |
8 |
230 |
| DOES CURVATURE ENHANCE FORECASTING? |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
27 |
| Do interest rate options contain information about excess returns? |
0 |
1 |
2 |
40 |
0 |
1 |
3 |
158 |
| Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters |
1 |
1 |
1 |
5 |
2 |
3 |
3 |
43 |
| Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy |
0 |
0 |
0 |
2 |
0 |
1 |
1 |
19 |
| Extracting Default Probabilities from Sovereign Bonds |
0 |
1 |
1 |
3 |
1 |
2 |
5 |
26 |
| Forecasting Bond Yields with Segmented Term Structure Models |
0 |
0 |
1 |
14 |
0 |
0 |
5 |
88 |
| Forecasting the Brazilian Term Structure Using Macroeconomic Factors |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
42 |
| Identifying volatility risk premia from fixed income Asian options |
0 |
0 |
0 |
46 |
0 |
0 |
2 |
257 |
| Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
36 |
| Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model |
0 |
0 |
0 |
4 |
1 |
1 |
4 |
43 |
| Long-term Yields Implied by Stochastic Discount Factor Decompositions |
0 |
1 |
2 |
3 |
0 |
2 |
4 |
21 |
| Measuring Long Run Risks for Brazil |
1 |
2 |
3 |
6 |
3 |
4 |
6 |
25 |
| Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
24 |
| Nonparametric Tail Risk, Stock Returns, and the Macroeconomy |
0 |
0 |
0 |
33 |
0 |
1 |
4 |
152 |
| Pricing Options Embedded in Debentures with Credit Risk |
1 |
1 |
1 |
5 |
1 |
1 |
3 |
34 |
| Pricing and Modeling Credit Derivatives |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
21 |
| Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy |
0 |
0 |
1 |
2 |
0 |
1 |
3 |
29 |
| Stochastic Volatility and Option Pricing in the Brazilian Stock Marke |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
37 |
| TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL |
0 |
0 |
2 |
12 |
0 |
1 |
3 |
42 |
| Term structure movements implicit in Asian option prices |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
46 |
| The role of no-arbitrage on forecasting: Lessons from a parametric term structure model |
0 |
0 |
2 |
52 |
0 |
0 |
2 |
231 |
| Total Journal Articles |
3 |
8 |
22 |
403 |
11 |
26 |
84 |
2,137 |
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