Efficient interest rate curve estimation and forecasting in Brazil
AUTOR(ES)
Caldeira, João Frois
DATA DE PUBLICAÇÃO
2011
ASSUNTO(S)
term structure taxa de juros brasil interest rate mercado financeiro filtro de kalman yield curve state-space model kalman filter
ACESSO AO ARTIGO
http://hdl.handle.net/10183/30427Documentos Relacionados
- The natural rate of interest in Brazil between 1999 and 2005
- Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil
- The industrial equilibrium exchange rate in Brazil: an estimation
- Imperfect rationality and inflationary inertia: a new estimation of the Phillips Curve for Brazil
- An analysis of the degrees of persistence of inflation, inflation expectations and Real interest rate in Brazil