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Details about Caio Almeida

E-mail:
Homepage:http://www.fgv.br/professor/calmeida/
Workplace:FGV/EPGE Escola Brasileira de Economia e Finanças (FGV/EPGE Brazilian School of Economics and Finance), Fundação Getulio Vargas (FGV) (Getulio Vargas Foundation), (more information at EDIRC)

Access statistics for papers by Caio Almeida.

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

Short-id: pal249


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Working Papers

2012

  1. Forecasting Bond Yields with Segmented Term Structure Models
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (3)

2009

  1. Are Interest Rate Options Important for the Assessment of Interest Rate Risk?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (7)
    See also Journal Article in Journal of Banking & Finance (2009)

2007

  1. Does Curvature Enhance Forecasting?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (5)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2009)
  2. Identifying Volatility Risk Premium from Fixed Income Asian Options
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2009)
  3. 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 Downloads View citations (3)
  4. The role of no-arbitrage on forecasting: lessons from a parametric term structure model
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2008)
  5. Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)

2006

  1. Term Structure Movements Implicit in Option Prices
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (5)

2005

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

Journal Articles

2012

  1. Term structure movements implicit in Asian option prices
    Quantitative Finance, 2012, 12, (1), 119-134 Downloads View citations (2)

2011

  1. Do interest rate options contain information about excess returns?
    Journal of Econometrics, 2011, 164, (1), 35-44 Downloads View citations (11)

2009

  1. Are interest rate options important for the assessment of interest rate risk?
    Journal of Banking & Finance, 2009, 33, (8), 1376-1387 Downloads View citations (7)
    See also Working Paper (2009)
  2. DOES CURVATURE ENHANCE FORECASTING?
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (08), 1171-1196 Downloads View citations (5)
    See also Working Paper (2007)
  3. Identifying volatility risk premia from fixed income Asian options
    Journal of Banking & Finance, 2009, 33, (4), 652-661 Downloads View citations (8)
    See also Working Paper (2007)

2008

  1. The role of no-arbitrage on forecasting: Lessons from a parametric term structure model
    Journal of Banking & Finance, 2008, 32, (12), 2695-2705 Downloads View citations (26)
    See also Working Paper (2007)

2005

  1. 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 Downloads View citations (4)
 
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