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Hello 👋

Hi there, 👋

Welcome to my GitHub!

👨🏻‍💻 About Me

I hold a master’s degree from the Graduate Program in Economics (PPGEco-UFSC) - with a scholarship from the Coordination for the Improvement of Higher Education Personnel (CAPES) in Brazil.

My research is highly focused on financial econometrics. I’m currently interested in the following topics: macro-finance (backward-looking and forward-looking macroeconomic factors), monetary policy, dynamic factor models, and term structure models; forecast combinations, volatility forecasting, and term structure forecasting.

I recently developed packages in R and Python to fitting and forecasting the term structure of interest rates. Lastly, I have an interest in machine learning applied to financial econometrics.

You can see my cv (only in portuguese) on http://lattes.cnpq.br/5635422378279874.

🛠 Languages and Tools

R  Python  MATLAB
Sublime Text  Visual Studio Code  HTML  GitHub  Markdown
C++ 

⚙️ GitHub Analytics

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📬 Get in touch

werleycordeiro's Projects

ar-p icon ar-p

My function AR(p). Method: OLS and MLE

econometriaii icon econometriaii

Econometria de Séries Temporais - Programa de Pós-Graduação em Economia da UFSC

examples icon examples

Tutorial about Dynamic-Nelson-Siegel-Svensson-Kalman-Filter Package

ma-q icon ma-q

My function MA(q). Method: MLE

term-premium icon term-premium

Pricing the term structure with linear regression (Replication of Adrian, Crump, Moench 2013 JFE paper)

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