Browsing Documentos indexados pela Scopus by Author "Machado, José Valentim Vicente"

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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 ...
Social welfare analysis in a financial economy with risk regulation

Machado, José Valentim Vicente; Araújo, Aloísio Pessoa de
2010

In the last years, regulating agencies of many countries in the world have adopted VaR-based risk regulation to control market risk of financial institutions. This paper investigates the consequences of such kind of ...