João Caldeira

Universidade Federal de Santa Catarina & CNPq

Associated Professor

R. Eng. Agronômico Andrei Cristian Ferreira, s/n

Florianópolis, SC Rio Grande do Sul 90480-004

Brazil

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 5,956

in Total Papers Downloads

8,964

SSRN CITATIONS
Rank 34,246

SSRN RANKINGS

Top 34,246

in Total Papers Citations

14

CROSSREF CITATIONS

10

Scholarly Papers (17)

1.

Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy

Number of pages: 28 Posted: 05 Jan 2013
João Caldeira and Guilherme V. Moura
Universidade Federal de Santa Catarina & CNPq and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 4,626 (2,332)
Citation 18

Abstract:

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statistical arbitrage, pairs trading, cointegration, market neutral strategy

2.

Capital Structure, Cash Holdings and Firm Value: A Study of Brazilian Listed Firms

Number of pages: 40 Posted: 22 Sep 2013
João Caldeira and Tiago Loncan
Universidade Federal de Santa Catarina & CNPq and University of Strathclyde, Department of Accounting and Finance, Students
Downloads 857 (34,399)
Citation 1

Abstract:

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Capital Structure, Cash Holdings, Firm Value

3.

Bond Portfolio Optimization Using Dynamic Factor Models

Number of pages: 49 Posted: 07 Jun 2012 Last Revised: 23 Nov 2015
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Edinburgh - Edinburgh Business School
Downloads 821 (36,472)
Citation 7

Abstract:

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yield curve; dynamic factor model; dynamic conditional correlation (DCC); portfolio optimization; value-at-risk

4.

Mixed Copula Pairs Trading Strategy on the S&P 500

Number of pages: 31 Posted: 22 Nov 2017 Last Revised: 24 Feb 2019
Federal University of Rio Grande do Sul (UFRGS) - Statistics Department, Flávio Ziegemann and Universidade Federal de Santa Catarina & CNPq
Downloads 608 (54,578)

Abstract:

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Pairs Trading, Copula, Distance Long-Short, Quantitative Strategies, S&P 500, Statistical Arbitrage.

5.

Can We Predict the Financial Markets Based on Google's Search Queries?

Number of pages: 24 Posted: 17 Nov 2014 Last Revised: 14 Sep 2016
Escola de Administração - UFRGS, Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 467 (75,798)
Citation 2

Abstract:

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market microstructure, investor attention, google trends, internet search volume

6.

Measuring Risk in Fixed Income Portfolios Using Yield Curve Models

Number of pages: 28 Posted: 18 Aug 2013
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Edinburgh - Edinburgh Business School
Downloads 364 (101,274)
Citation 1

Abstract:

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backtesting, dynamic conditional correlation (DCC), forecast, maximum likelihood, value-at-risk

7.

Forecasting the U.S. Term Structure of Interest Rates using Nonparametric Functional Data Analysis

Number of pages: 21 Posted: 07 Jun 2012 Last Revised: 03 Jul 2016
João Caldeira and Hudson Torrent
Universidade Federal de Santa Catarina & CNPq and Universidade Federal do Rio Grande do Sul (UFRGS) - Department of Statistics
Downloads 210 (178,299)
Citation 2

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Term structure estimation, factor models, nonparametric method, Interest rate forecasting, Kalman filter

8.

Combining Multivariate Volatility Forecasts: An Economic-Based Approach

Journal of Financial Econometrics, Forthcoming
Number of pages: 45 Posted: 23 Sep 2015 Last Revised: 25 Oct 2016
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and University of Edinburgh - Edinburgh Business School
Downloads 179 (205,953)
Citation 2

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Composite likelihood, conditional correlation models, model confidence set, realized covariance, stochastic volatility

9.

Efficient Yield Curve Estimation and Forecasting in Brazil

Revista Economia, January/April 2010
Number of pages: 25 Posted: 21 Jun 2012
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and affiliation not provided to SSRN
Downloads 161 (225,353)

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Term Structure of the Interest Rate, Yield Curve, State-Space Model, Kalman Filter

10.

Risk Parity in the Brazilian Market

Economics Bulletin, Volume 37, Issue 3, pages 1555-1566
Number of pages: 13 Posted: 19 Jul 2017
Getulio Vargas Foundation (FGV), Sao Paulo School of Business Administration, Students , Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina & CNPq, Federal University of Rio Grande do Sul (UFRGS/PPGA), Management School and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 159 (227,799)

Abstract:

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risk parity, brazilian market, covariance matrix

11.

Predicting the Yield Curve Using Forecast Combinations

Number of pages: 34 Posted: 18 Aug 2013
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Edinburgh - Edinburgh Business School
Downloads 140 (252,830)

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yield curve, dynamic factor models, forecast combinations, economic value of forecasts, Kalman

12.

Yield Curve Forecast Combinations Based on Bond Portfolio Performance

Journal of Forecasting, Forthcoming
Number of pages: 33 Posted: 29 Mar 2017
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Edinburgh - Edinburgh Business School
Downloads 92 (339,669)

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Forecast Combinations, Portfolio Optimization, Yield Curve, Bond Returns

13.

Break-Even Inflation Rate and the Risk Premium: An Alternative Approach to the VAR Models in Forecasting the CPI

Number of pages: 12 Posted: 08 Jul 2013
João Caldeira and Luiz Furlani
Universidade Federal de Santa Catarina & CNPq and Independent
Downloads 72 (392,547)

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break-even inflation rate, inflation expectations, inflation

14.

The Role of Taxes and the Interdependence Among Corporate Financial Policies: Evidence from a Natural Experiment

Number of pages: 32 Posted: 07 Jul 2016
Jefferson Colombo and João Caldeira
Sao Paulo School of Economics (FGV EESP) and Universidade Federal de Santa Catarina & CNPq
Downloads 71 (395,564)
Citation 2

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taxation; dividend policy; interdependence of corporate financial decisions; natural experiment

15.

Foreign Portfolio Capital Flows and Stock Returns: A Study of Brazilian Listed Firms

Number of pages: 33 Posted: 10 Apr 2015
Tiago Loncan and João Caldeira
University of Strathclyde, Department of Accounting and Finance, Students and Universidade Federal de Santa Catarina & CNPq
Downloads 52 (460,891)

Abstract:

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Foreign Portfolio Capital Flows, Stock Returns, Arbitrage Pricing Theory.

16.

Investigating the Expectation Hypothesis and the Risk Premium Dynamics: New Evidence for Brazil

Number of pages: 22 Posted: 29 Jan 2019
João Caldeira
Universidade Federal de Santa Catarina & CNPq
Downloads 45 (489,669)

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Expectation Hypothesis, Bond Risk Premia, Factor Models, Excess Return Predictability, Out-of-Sample Forecasts

17.

Semiparametric Portfolios: Improving Portfolio Performance by Exploiting Non-Linearities in Firm Characteristics

Number of pages: 46 Posted: 23 Apr 2021 Last Revised: 06 Jul 2021
João Caldeira, Andre A. P. Santos and Hudson Torrent
Universidade Federal de Santa Catarina & CNPq, University of Edinburgh - Edinburgh Business School and Universidade Federal do Rio Grande do Sul (UFRGS) - Department of Statistics
Downloads 40 (512,304)

Abstract:

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Penalized splines; Portfolio turnover; Risk-adjusted returns; Sharpe ratios.