José Valentim Vicente : Citation Profile


Are you José Valentim Vicente?

Banco Central do Brasil
IBMEC Business School - Rio de Janeiro

6

H index

3

i10 index

109

Citations

RESEARCH PRODUCTION:

6

Articles

15

Papers

RESEARCH ACTIVITY:

   4 years (2006 - 2010). See details.
   Cites by year: 27
   Journals where José Valentim Vicente has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 6 (5.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvi124
   Updated: 2020-10-24    RAS profile: 2011-04-08    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with José Valentim Vicente.

Is cited by:

Almeida, Caio (10)

Fernandes, Marcelo (6)

Carriero, Andrea (5)

Guillén, Osmani (4)

Sarno, Lucio (4)

Tabak, Benjamin (4)

Wagner, Christian (4)

Marcellino, Massimiliano (4)

Schneider, Paul (4)

Moura, Guilherme (4)

Cajueiro, Daniel (3)

Cites to:

Tabak, Benjamin (14)

Diebold, Francis (14)

Piazzesi, Monika (10)

Rudebusch, Glenn (9)

Nakane, Marcio (6)

Ang, Andrew (5)

Almeida, Caio (5)

Duffie, Darrell (3)

Nelson, Charles (3)

Shiller, Robert (3)

Campbell, John (3)

Main data


Where José Valentim Vicente has published?


Journals with more than one article published# docs
Journal of Banking & Finance3

Working Papers Series with more than one paper published# docs
Working Papers Series / Central Bank of Brazil, Research Department13
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)2

Recent works citing José Valentim Vicente (2020 and 2019)


YearTitle of citing document
2020Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan . In: Working Papers Series. RePEc:bcb:wpaper:513.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

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2019Efficient Dynamic Yield Curve Estimation in Emerging Financial Markets. (2019). El-Shagi, Makram ; Jiang, Lunan. In: CFDS Discussion Paper Series. RePEc:fds:dpaper:201904.

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2020No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:88748.

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2020Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines. (2020). Fabris, Antonio Elias ; Moura, Marcelo ; Alencar, Airlane Pereira ; Mineo, Eduardo. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:65-:d:340878.

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2019Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment. (2019). Husodo, Zaafri Ananto ; Wibowo, Buddi ; Utama, Cynthia Afriani ; Sasongko, Aryo. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9848-z.

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2020Quantifying and Stress Testing Operational Risk with Peer Banks’ Data. (2020). Abdymomunov, Azamat ; Curti, Filippo. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:57:y:2020:i:3:d:10.1007_s10693-019-00320-w.

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2020Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach. (2020). Reboredo, Juan ; Arismendi Zambrano, Juan ; Rivera-Castro, M A ; Ramos-Almeida, T ; Arismendi-Zambrano, J C. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n305-20.pdf.

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2019Forecasting the Yield Curve with Dynamic Factors. (2019). Stark, Thomas ; Reschenhofer, Erhard. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2019:i:1:p:101-113.

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2020Analytical valuation of Asian options with counterparty risk under stochastic volatility models. (2020). Wang, Xingchun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:410-429.

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Works by José Valentim Vicente:


YearTitleTypeCited
2006Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint In: Working Papers Series.
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paper0
2006Term Structure Movements Implicit in Option Prices In: Working Papers Series.
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paper6
2007Identifying Volatility Risk Premium from Fixed Income Asian Options In: Working Papers Series.
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paper8
2009Identifying volatility risk premia from fixed income Asian options.(2009) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 8
article
2007Forecasting Bonds Yields in the Brazilian Fixed Income Market In: Working Papers Series.
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paper19
2008Forecasting bond yields in the Brazilian fixed income market.(2008) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 19
article
2007Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial In: Working Papers Series.
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paper4
2007Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial In: Working Papers Series.
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paper3
2007Does Curvature Enhance Forecasting? In: Working Papers Series.
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paper10
2009Are Interest Rate Options Important for the Assessment of Interest Rate Risk? In: Working Papers Series.
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paper8
2009Are interest rate options important for the assessment of interest rate risk?.(2009) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2009Previsão da Curva de Juros: um modelo estatístico com variáveis macroeconômicas In: Working Papers Series.
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paper1
2009Pricing Asian Interest Rate Options with a Three-Factor HJM Model In: Working Papers Series.
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paper3
2009The role of macroeconomic variables in sovereign risk In: Working Papers Series.
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paper5
2010The role of macroeconomic variables in sovereign risk.(2010) In: Emerging Markets Review.
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This paper has another version. Agregated cites: 5
article
2010Do Inflation-linked Bonds Contain Information about Future Inflation? In: Working Papers Series.
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paper4
2010Forecasting the Yield Curve with Linear Factor Models In: Working Papers Series.
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paper5
2010Social Welfare Analysis in a Financial Economy with Risk Regulation In: Journal of Public Economic Theory.
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article0
2008The role of no-arbitrage on forecasting: Lessons from a parametric term structure model In: Journal of Banking & Finance.
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article33
2007The role of no-arbitrage on forecasting: lessons from a parametric term structure model.(2007) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2007Social welfare analysis in a simple financial economy with risk regulation In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
paper0

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