Browsing by Author "Faria, Adriano Augusto de"

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    • Essays in empirical finance 

      Faria, Adriano Augusto de
      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 ...

    • A hybrid spline-based parametric model for the yield curve 

      Faria, Adriano Augusto de; Almeida, Caio Ibsen Rodrigues de
      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, ...

    • Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos 

      Faria, Adriano Augusto de
      2013-06-11
      This article studies the prediction of the Brazilian interest rate term structure employing the use of common factors extracted from a vast database of macroeconomic series. The estimation and prediction periods analyzed ...