Guilherme Valle Moura : Citation Profile


Are you Guilherme Valle Moura?

Universidade Federal de Santa Catarina

6

H index

1

i10 index

81

Citations

RESEARCH PRODUCTION:

21

Articles

19

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 6
   Journals where Guilherme Valle Moura has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 10 (10.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo897
   Updated: 2019-10-15    RAS profile: 2017-10-12    
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Relations with other researchers


Works with:

Santos, Andre (9)

Authors registered in RePEc who have co-authored more than one work in the last five years with Guilherme Valle Moura.

Is cited by:

Gaglianone, Wagner (5)

Valls Pereira, Pedro (4)

Guidolin, Massimo (4)

Bahmani-Oskooee, Mohsen (4)

Hotta, Luiz (3)

Da Silva, Sergio (3)

HALICIOGLU, Ferda (2)

Westermann, Frank (2)

Dahlhaus, Tatjana (2)

Steinkamp, Sven (2)

Guillén, Osmani (2)

Cites to:

Engle, Robert (32)

Diebold, Francis (18)

Bollerslev, Tim (12)

Milesi-Ferretti, Gian Maria (12)

Rudebusch, Glenn (11)

Timmermann, Allan (11)

Asai, Manabu (10)

Sheppard, Kevin (10)

Wolf, Michael (10)

Ledoit, Olivier (10)

Jagannathan, Ravi (10)

Main data


Where Guilherme Valle Moura has published?


Journals with more than one article published# docs
Economics Bulletin6
Revista Brasileira de Economia - RBE3
Computational Statistics & Data Analysis2
Economia2

Working Papers Series with more than one paper published# docs
International Finance / University Library of Munich, Germany3
Economics Working Papers / Christian-Albrechts-University of Kiel, Department of Economics3
MPRA Paper / University Library of Munich, Germany2

Recent works citing Guilherme Valle Moura (2018 and 2017)


YearTitle of citing document
2018SME investment best strategies. Outliers for assessing how to optimize performance. (2018). Ausloos, Marcel ; Castellano, Nicola G ; Bartolacci, Francesca ; Cerqueti, Roy. In: Papers. RePEc:arx:papers:1807.09583.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2019Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_03-2019.

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2017Malaysia–Korea Commodity Trade: Are there Asymmetric Responses to Exchange Rate Changes?. (2017). Bahmani-Oskooee, Mohsen ; Aftab, Muhammad. In: Economic Papers. RePEc:bla:econpa:v:36:y:2017:i:2:p:198-222.

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2017Asymmetric Effects of Exchange Rate Changes and the J-curve: New Evidence from 61 Malaysia–Thailand Industries. (2017). Bahmani-Oskooee, Mohsen ; Aftab, Muhammad. In: Review of Development Economics. RePEc:bla:rdevec:v:21:y:2017:i:4:p:e30-e46.

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2018Estimation of the common component in Dynamic Factor Models. (2018). Sanchez, Daniel Pea ; Navarro, Angela Caro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27047.

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2019A Tale of Two Surplus Countries: China and Germany. (2001). Westermann, Frank ; Steinkamp, Sven ; Cheung, Yin-Wong. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_010.

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2017Model Uncertainty and Exchange Rate Forecasting. (2017). Markiewicz, Agnieszka ; Kouwenberg, Roy ; Verhoeks, Ralph . In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:01:p:341-363_00.

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2017Currency evaluation using a big mac index for Thailand – lessons for Vietnam. (2017). Vo, Duc. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00201.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2018Riemann and Weierstrass walks revisited. (2018). Soto-Villalobos, Roberto ; Almaguer, F-Javier ; F-Javier Almaguer, ; Amezcua, Omar Gonzalez ; Morales-Castillo, Javier . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:319:y:2018:i:c:p:518-526.

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2018Estimating inflation persistence by quantile autoregression with quantile-specific unit roots. (2018). Rodrigues Figueiredo, Francisco ; Gaglianone, Wagner ; de Carvalho, Osmani Teixeira. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:407-430.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model. (2019). Stona, Filipe ; Caldeira, Joo F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:76-89.

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2017Estimating the competitive storage model: A simulated likelihood approach. (2017). Kleppe, Tore ; Oglend, Atle. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:39-56.

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2019Improving prediction market forecasts by detecting and correcting possible over-reaction to price movements. (2019). Sung, Ming-Chien ; Cheah, Eng-Tuck ; Tai, Chung-Ching ; David, . In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:1:p:389-405.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018Has China’s coal consumption already peaked? A demand-side analysis based on hybrid prediction models. (2018). Wang, CE ; Liang, Qiao-Mei. In: Energy. RePEc:eee:energy:v:162:y:2018:i:c:p:272-281.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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2018SME investment best strategies. Outliers for assessing how to optimize performance. (2018). Ausloos, Marcel ; Castellano, Nicola G ; Bartolacci, Francesca ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:754-765.

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2018Forecasting exchange rate using Variational Mode Decomposition and entropy theory. (2018). He, Kaijian ; Chen, Yanhui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:15-25.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Zevallos, Mauricio ; Hotta, Luiz K ; Hallin, Marc ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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2017Multiplicador dos gastos do governo em períodos de expansão e recessão: evidências empíricas para o Brasil. (2017). Grudter, Vanessa ; Aragon, Edilean Kleber. In: Revista Brasileira de Economia - RBE. RePEc:fgv:epgrbe:v:71:y:2017:i:3:a:66441.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2019A Tale of Two Surplus Countries: China and Germany. (2019). Westermann, Frank ; Steinkamp, Sven ; Cheung, Yin-Wong. In: Working Papers. RePEc:iee:wpaper:wp0114.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2018Asymmetric Cointegration, Nonlinear ARDL, and the J-Curve: A Bilateral Analysis of China and Its 21 Trading Partners. (2018). Bahmani-Oskooee, Mohsen ; Zhang, Yun ; Bose, Niloy . In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:13:p:3131-3151.

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2017A Power Booster Factor for Out-of-Sample Tests of Predictability. (2017). Pincheira, Pablo. In: MPRA Paper. RePEc:pra:mprapa:77027.

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2019What nexus exists between exchange rate and trade balance? The case of Nigeria vis-à-vis UK, US and Hong Kong. (2019). Raifu, Isiaka ; Adeniyi, Oluwatosin Ademola ; Aminu, Alarudeen. In: MPRA Paper. RePEc:pra:mprapa:92976.

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2019Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis. (2019). GUPTA, RANGAN ; Torrent, Hudson S ; Suleman, Tahir ; Caldeira, Joao F. In: Working Papers. RePEc:pre:wpaper:201911.

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2018Combining Multivariate Volatility Forecasts using Weighted Losses. (2018). Doolan, M ; Clements, A. In: NCER Working Paper Series. RePEc:qut:auncer:2018_02.

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2019Fiscal Policy Effects and Capital Mobility in Latin American Countries. (2019). Acevedo, Rafael A ; Mora, Jose U. In: Journal of Economic Integration. RePEc:ris:integr:0767.

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2018The Term Structure of Government Bond Yields in an Emerging Market. (2018). Waliullah, ; Bari, Khadija Malik. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:3:p:5-28.

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2017Is Exchange Rate Moody? Forecasting Exchange Rate with Google Trends Data. (2017). Dybka, Piotr ; Chojnowski, Michał. In: Econometric Research in Finance. RePEc:sgh:erfinj:v:2:y:2017:i:1:p:1-21.

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2018Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. (2018). Li, Mengheng ; Scharth, Marcel. In: Working Paper Series. RePEc:uts:ecowps:49.

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2017Scenario-based capital requirements for the interest rate risk of insurance companies. (2017). Schlutter, Sebastian . In: ICIR Working Paper Series. RePEc:zbw:icirwp:2817.

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Works by Guilherme Valle Moura:


YearTitleTypeCited
2010Efficient Yield Curve Estimation and Forecasting in Brazil In: Economia.
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article1
2015The interiorization of Brazilian violence, policing, and economic growth In: Economia.
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article0
2008Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation In: Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting].
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paper2
2007Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation.(2007) In: Economics Working Papers.
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This paper has another version. Agregated cites: 2
paper
2011EFFICIENT INTEREST RATECURVE ESTIMATION AND FORECASTING IN BRAZIL In: Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting].
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paper0
2011Reajuste Informacionalno Brasil: uma aplicação da curva de Phillips sobrigidez de informação In: Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting].
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paper2
2014SELEÇÃO DE CARTEIRAS UTILIZANDO O MODELOFAMA-FRENCH-CARHART In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting].
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paper2
2013Seleção de carteiras utilizando o modelo Fama-French-Carhart.(2013) In: Revista Brasileira de Economia - RBE.
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This paper has another version. Agregated cites: 2
article
2014MODELO DE FATORES DINÂMICOS: ESTIMAÇÃO E PREVISÃO DA CURVA REAL DE JUROS In: Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting].
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paper0
2014UM MODELO MACROECONÔMICO HÍBRIDO PARA O BRASIL: UM MIX DE MODELOS DSGE E VAR In: Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting].
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paper0
2016FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting].
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paper0
2010Determinants and Dynamics of Current Account Reversals: An Empirical Analysis In: Oxford Bulletin of Economics and Statistics.
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article7
2009Determinants and dynamics of current account reversals: an empirical analysis.(2009) In: Economics Working Papers.
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This paper has another version. Agregated cites: 7
paper
2015Portfolio Optimisation and Endogenous Rebalancing Methods In: Brazilian Review of Finance.
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article0
2009Efficient Likelihood Evaluation of State-Space Representations In: Working Papers.
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paper7
2013Efficient Likelihood Evaluation of State-Space Representations.(2013) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 7
article
2009Efficient likelihood evaluation of state-space representations.(2009) In: Economics Working Papers.
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This paper has another version. Agregated cites: 7
paper
2004Big Mac parity, income, and trade In: Economics Bulletin.
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article1
2004Big Mac Parity, Income, and Trade.(2004) In: International Finance.
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This paper has another version. Agregated cites: 1
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2005Is There a Brazilian J-Curve? In: Economics Bulletin.
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article14
2005Is There a Brazilian J-Curve?.(2005) In: International Finance.
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This paper has another version. Agregated cites: 14
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2005Travel hysteresis in the Brazilian current account In: Economics Bulletin.
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article0
2005Travel Hysteresis in the Brazilian Current Account.(2005) In: International Trade.
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This paper has another version. Agregated cites: 0
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2005Travel hysteresis in the US current account after the mid-1980s In: Economics Bulletin.
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article0
2005Travel Hysteresis in the US Current Account After the Mid-1980s.(2005) In: Economic History.
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This paper has another version. Agregated cites: 0
paper
2012Heteroskedastic Dynamic Factor Models: A Monte Carlo Study In: Economics Bulletin.
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article0
2012Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market In: Economics Bulletin.
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2016Predicting the yield curve using forecast combinations In: Computational Statistics & Data Analysis.
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article8
2014Dynamic factor multivariate GARCH model In: Computational Statistics & Data Analysis.
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article8
2014Efficient estimation of conditionally linear and Gaussian state space models In: Economics Letters.
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article1
2016Bond portfolio optimization using dynamic factor models In: Journal of Empirical Finance.
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article6
2013Adaptive forecasting of exchange rates with panel data In: International Journal of Forecasting.
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article8
2015Multiplicadores Fiscais e Investimento em Infraestrutura In: Revista Brasileira de Economia - RBE.
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article4
2015Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil In: Revista Brasileira de Economia - RBE.
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article0
2015Measuring Risk in Fixed Income Portfolios using Yield Curve Models In: Computational Economics.
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article5
2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach In: Journal of Financial Econometrics.
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article4
2006Testing the Equilibrium Exchange Rate Model - Updated In: MPRA Paper.
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2007US Current Account Deficit and Exchange Rate Tax In: MPRA Paper.
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2005Testing the Equilibrium Exchange Rate Model In: International Finance.
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2010A conditionally heteroskedastic global inflation model In: Kiel Working Papers.
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paper1

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