José Valentim Vicente : Citation Profile


Are you José Valentim Vicente?

Banco Central do Brasil
IBMEC Business School - Rio de Janeiro

5

H index

3

i10 index

101

Citations

RESEARCH PRODUCTION:

6

Articles

15

Papers

RESEARCH ACTIVITY:

   4 years (2006 - 2010). See details.
   Cites by year: 25
   Journals where José Valentim Vicente has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 6 (5.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvi124
   Updated: 2020-02-08    RAS profile: 2011-04-08    
   Missing citations? Add them    Incorrect content? Let us know

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)

Schneider, Paul (4)

Tabak, Benjamin (4)

Sarno, Lucio (4)

Guillén, Osmani (4)

Moura, Guilherme (4)

Wagner, Christian (4)

Marcellino, Massimiliano (3)

Chague, Fernando (3)

Cites to:

Tabak, Benjamin (14)

Diebold, Francis (14)

Piazzesi, Monika (10)

Rudebusch, Glenn (9)

Nakane, Marcio (6)

Almeida, Caio (5)

Ang, Andrew (5)

Baptista, Alexandre (3)

Campbell, John (3)

Leippold, Markus (3)

Christensen, Jens (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 (2018 and 2017)


YearTitle of citing document
2018Interconnectedness, Firm Resilience and Monetary Policy. (2018). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre ; Guerra, Solange Maria. In: Working Papers Series. RePEc:bcb:wpaper:478.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Do the central bank actions reduce interest rate volatility?. (2017). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:129-137.

Full description at Econpapers || Download paper

2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

Full description at Econpapers || Download paper

2017Forecasting the Brazilian yield curve using forward-looking variables. (2017). Fernandes, Marcelo ; Chague, Fernando ; Vieira, Fausto . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:121-131.

Full description at Econpapers || Download paper

2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US. (2017). Fernandes, Marcelo ; Chague, Fernando ; Araujo, Fausto Jose . In: Textos para discussão. RePEc:fgv:eesptd:445.

Full description at Econpapers || Download paper

2017Disagreement in inflation forecasts and inflation risk premia in Brazil. (2017). Fernandes, Marcelo ; de Azevedo, Clemens V ; Doi, Jonas Takayuki . In: Textos para discussão. RePEc:fgv:eesptd:453.

Full description at Econpapers || Download paper

2017Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve. (2017). Bekker, Paul A. In: Research Report. RePEc:gro:rugsom:17009-eef.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Forecasting Bond Yields with Segmented Term Structure Models. (2018). Almeida, Caio ; Vicente, Jose ; Simonsen, Axel ; Kubudi, Daniela ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:1-33..

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil. (2017). Fernandes, Marcelo ; Doi, Jonas ; Nunes, Clemens Vinicius . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:1:a:57700.

Full description at Econpapers || Download paper

2018PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES. (2018). de Genaro, Alan ; Avellaneda, Marco. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500371.

Full description at Econpapers || Download paper

Works by José Valentim Vicente:


YearTitleTypeCited
2006Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint In: Working Papers Series.
[Full Text][Citation analysis]
paper0
2006Term Structure Movements Implicit in Option Prices In: Working Papers Series.
[Full Text][Citation analysis]
paper4
2007Identifying Volatility Risk Premium from Fixed Income Asian Options In: Working Papers Series.
[Full Text][Citation analysis]
paper8
2009Identifying volatility risk premia from fixed income Asian options.(2009) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2007Forecasting Bonds Yields in the Brazilian Fixed Income Market In: Working Papers Series.
[Full Text][Citation analysis]
paper18
2008Forecasting bond yields in the Brazilian fixed income market.(2008) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2007Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial In: Working Papers Series.
[Full Text][Citation analysis]
paper3
2007Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial In: Working Papers Series.
[Full Text][Citation analysis]
paper3
2007Does Curvature Enhance Forecasting? In: Working Papers Series.
[Full Text][Citation analysis]
paper10
2009Are Interest Rate Options Important for the Assessment of Interest Rate Risk? In: Working Papers Series.
[Full Text][Citation analysis]
paper7
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: 7
article
2009Previsão da Curva de Juros: um modelo estatístico com variáveis macroeconômicas In: Working Papers Series.
[Full Text][Citation analysis]
paper1
2009Pricing Asian Interest Rate Options with a Three-Factor HJM Model In: Working Papers Series.
[Full Text][Citation analysis]
paper2
2009The role of macroeconomic variables in sovereign risk In: Working Papers Series.
[Full Text][Citation analysis]
paper5
2010The role of macroeconomic variables in sovereign risk.(2010) In: Emerging Markets Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2010Do Inflation-linked Bonds Contain Information about Future Inflation? In: Working Papers Series.
[Full Text][Citation analysis]
paper4
2010Forecasting the Yield Curve with Linear Factor Models In: Working Papers Series.
[Full Text][Citation analysis]
paper5
2010Social Welfare Analysis in a Financial Economy with Risk Regulation In: Journal of Public Economic Theory.
[Full Text][Citation analysis]
article0
2008The role of no-arbitrage on forecasting: Lessons from a parametric term structure model In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article31
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: 31
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 4 2020. Contact: CitEc Team