Details about Caio Almeida

Access statistics for papers by Caio Almeida.

Last updated 2012-09-14. Update your information in the RePEc Author Service.

Short-id: pal249

Working Papers

2012

1. Forecasting Bond Yields with Segmented Term Structure Models
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2009

2. Are Interest Rate Options Important for the Assessment of Interest Rate Risk?
   Working Papers Series, Central Bank of Brazil, Research Department View citations (3)
   See also Journal Article in Journal of Banking & Finance (2009)

2007

3. Does Curvature Enhance Forecasting?
   Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
   See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2009)
4. Identifying Volatility Risk Premium from Fixed Income Asian Options
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
   See also Journal Article in Journal of Banking & Finance (2009)
5. Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial
   Working Papers Series, Central Bank of Brazil, Research Department View citations (2)
   See also Journal Article in Revista Brasileira de Economia (2008)
6. The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations (1)
   See also Journal Article in Journal of Banking & Finance (2008)
7. Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2006

8. Term Structure Movements Implicit in Option Prices
   Working Papers Series, Central Bank of Brazil, Research Department View citations (3)

2005

9. Do Options Contain Information About Excess Bond Returns?
   IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro View citations (5)

Journal Articles

2012

1. Term structure movements implicit in Asian option prices
   Quantitative Finance, 2012, 12, (1), 119-134

2011

2. Do interest rate options contain information about excess returns?
   Journal of Econometrics, 2011, 164, (1), 35-44 View citations (3)

2009

3. Are interest rate options important for the assessment of interest rate risk?
   Journal of Banking & Finance, 2009, 33, (8), 1376-1387 View citations (3)
   See also Working Paper (2009)
4. DOES CURVATURE ENHANCE FORECASTING?
   International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (08), 1171-1196 View citations (3)
   See also Working Paper (2007)
5. Identifying volatility risk premia from fixed income Asian options
   Journal of Banking & Finance, 2009, 33, (4), 652-661 View citations (4)
   See also Working Paper (2007)

2008

6. Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial
   Revista Brasileira de Economia, 2008, 62, (4), 497–510
   See also Working Paper (2007)
7. The role of no-arbitrage on forecasting: Lessons from a parametric term structure model
   Journal of Banking & Finance, 2008, 32, (12), 2695-2705 View citations (14)
   See also Working Paper (2007)

2005

8. AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
   International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (02), 161-184 View citations (3)