Listagem Produção Intelectual em Bases Externas por autor "Glasman, Daniela Kubudi"

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    • Extracting inflation risk premium from nominal and real bonds using survey information 

      Machado, José Valentim Vicente; Glasman, Daniela Kubudi
      2018
      Purpose: The purpose of this paper is to forecast future inflation using a joint model of the nominal and real yield curves estimated with survey data. The model is arbitrage free and embodies incompleteness between the ...

    • Forecasting bond yields with segmented term structure models 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Glasman, Daniela Kubudi; Simonsen, Axel André; Vicente, José
      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 ...