Details about Caio Almeida

Access statistics for papers by Caio Almeida.

Last updated 2025-08-11. Update your information in the RePEc Author Service.

Short-id: pal249

Working Papers

2025

1. Risk Premia in the Bitcoin Market
   Papers, arXiv.org

2024

2. High-Frequency Tail Risk Premium and Stock Return Predictability
   Post-Print, HAL
   See also Journal Article High-Frequency Tail Risk Premium and Stock Return Predictability, Journal of Financial and Quantitative Analysis, Cambridge University Press (2024) (2024)

2023

3. Tail Risk and Asset Prices in the Short-term
   Working Papers, Princeton University. Economics Department.
4. Which (Nonlinear) Factor Models?
   Working Papers, Princeton University. Economics Department.

2022

5. Can a Machine Correct Option Pricing Models?
   Working Papers, Princeton University. Economics Department.
   Also in Working Papers, Princeton University. Economics Department. (2021)
   See also Journal Article Can a Machine Correct Option Pricing Models?, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (2) (2023)
6. Demand in the Option Market and the Pricing Kernel
   Working Papers, Princeton University. Economics Department.
7. Nonparametric Option Pricing with Generalized Entropic Estimators
   Working Papers, Princeton University. Economics Department.
   See also Journal Article Nonparametric Option Pricing with Generalized Entropic Estimators, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) (2023)

2021

8. Constrained Polynomial Likelihood
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in Working Papers, Princeton University. Economics Department. (2021)
   See also Journal Article Constrained Polynomial Likelihood, Journal of Business & Economic Statistics, Taylor & Francis Journals (2025) (2025)

2020

9. Extracting Tail Risk from High-Frequency S&P 500 Returns
   Working Papers, Princeton University. Economics Department.
10. Nonparametric Assessment of Hedge Fund Performance
    Post-Print, HAL View citations (4)
    Also in TSE Working Papers, Toulouse School of Economics (TSE) (2019) View citations (1)
    See also Journal Article Nonparametric assessment of hedge fund performance, Journal of Econometrics, Elsevier (2020) View citations (5) (2020)

2016

11. Nonparametric Tail Risk, Stock Returns and the Macroeconomy
    CIRANO Working Papers, CIRANO View citations (3)
    See also Journal Article Nonparametric Tail Risk, Stock Returns, and the Macroeconomy, Journal of Financial Econometrics, Oxford University Press (2017) View citations (24) (2017)

2012

12. Forecasting Bond Yields with Segmented Term Structure Models
    Working Papers Series, Central Bank of Brazil, Research Department View citations (4)
    See also Journal Article Forecasting Bond Yields with Segmented Term Structure Models, Journal of Financial Econometrics, Oxford University Press (2018) View citations (7) (2018)

2008

13. Are Interest Rate Options Important for the Assessment of Interest Rate Risk?
    Working Papers Series, Central Bank of Brazil, Research Department View citations (8)
    See also Journal Article Are interest rate options important for the assessment of interest rate risk?, Journal of Banking & Finance, Elsevier (2009) View citations (10) (2009)

2007

14. Does Curvature Enhance Forecasting?
    Working Papers Series, Central Bank of Brazil, Research Department View citations (10)
    See also Journal Article DOES CURVATURE ENHANCE FORECASTING?, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2009) View citations (9) (2009)
15. 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 Identifying volatility risk premia from fixed income Asian options, Journal of Banking & Finance, Elsevier (2009) View citations (11) (2009)
16. 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 (3)
    See also Journal Article Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2008) View citations (1) (2008)
17. The role of no-arbitrage on forecasting: lessons from a parametric term structure model
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
    See also Journal Article The role of no-arbitrage on forecasting: Lessons from a parametric term structure model, Journal of Banking & Finance, Elsevier (2008) View citations (37) (2008)
18. 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 (4)

2006

19. Term Structure Movements Implicit in Option Prices
    Working Papers Series, Central Bank of Brazil, Research Department View citations (6)

2005

20. Do Options Contain Information About Excess Bond Returns?
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro View citations (6)

Journal Articles

2025

1. Constrained Polynomial Likelihood
   Journal of Business & Economic Statistics, 2025, 43, (2), 482-493
   See also Working Paper Constrained Polynomial Likelihood, Swiss Finance Institute Research Paper Series (2021) (2021)

2024

2. High-Frequency Tail Risk Premium and Stock Return Predictability
   Journal of Financial and Quantitative Analysis, 2024, 59, (8), 3633-3670
   See also Working Paper High-Frequency Tail Risk Premium and Stock Return Predictability, Post-Print (2024) (2024)

2023

3. Can a Machine Correct Option Pricing Models?
   Journal of Business & Economic Statistics, 2023, 41, (3), 995-1009 View citations (2)
   See also Working Paper Can a Machine Correct Option Pricing Models?, Working Papers (2022) (2022)
4. Nonparametric Option Pricing with Generalized Entropic Estimators
   Journal of Business & Economic Statistics, 2023, 41, (4), 1173-1187
   See also Working Paper Nonparametric Option Pricing with Generalized Entropic Estimators, Working Papers (2022) (2022)

2022

5. Pricing of index options in incomplete markets
   Journal of Financial Economics, 2022, 144, (1), 174-205 View citations (4)
6. Tail risk exposures of hedge funds: Evidence from unique Brazilian data
   Brazilian Review of Econometrics, 2022, 41, (1)

2020

7. Nonparametric assessment of hedge fund performance
   Journal of Econometrics, 2020, 214, (2), 349-378 View citations (5)
   See also Working Paper Nonparametric Assessment of Hedge Fund Performance, Post-Print (2020) View citations (4) (2020)

2019

8. Long-term Yields Implied by Stochastic Discount Factor Decompositions
   Brazilian Review of Econometrics, 2019, 39, (1)
9. Measuring Long Run Risks for Brazil
   Brazilian Review of Econometrics, 2019, 39, (1) View citations (1)
10. Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries
    Brazilian Review of Econometrics, 2019, 38, (2)

2018

11. A hybrid spline-based parametric model for the yield curve
    Journal of Economic Dynamics and Control, 2018, 86, (C), 72-94 View citations (7)
12. Forecasting Bond Yields with Segmented Term Structure Models
    Journal of Financial Econometrics, 2018, 16, (1), 1-33 View citations (7)
    See also Working Paper Forecasting Bond Yields with Segmented Term Structure Models, Working Papers Series (2012) View citations (4) (2012)

2017

13. An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds
    Brazilian Review of Econometrics, 2017, 37, (1)
14. Economic Implications of Nonlinear Pricing Kernels
    Management Science, 2017, 63, (10), 3361-3380 View citations (14)
15. Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 333-376 View citations (24)
    Also in Journal of Financial Econometrics, 2017, 15, (3), 504-504 (2017) View citations (22)
    See also Working Paper Nonparametric Tail Risk, Stock Returns and the Macroeconomy, CIRANO Working Papers (2016) View citations (3) (2016)
16. Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 418-426 View citations (22)

2016

17. Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters
    Brazilian Review of Econometrics, 2016, 36, (1) View citations (4)
18. Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil
    Brazilian Review of Econometrics, 2016, 36, (2) View citations (1)
19. Pricing Options Embedded in Debentures with Credit Risk
    Brazilian Review of Econometrics, 2016, 36, (1)

2014

20. Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model
    Brazilian Review of Econometrics, 2014, 34, (2) View citations (1)
21. Forecasting the Brazilian Term Structure Using Macroeconomic Factors
    Brazilian Review of Econometrics, 2014, 34, (1) View citations (3)
22. Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model
    Brazilian Review of Econometrics, 2014, 34, (2) View citations (1)

2012

23. Assessing misspecified asset pricing models with empirical likelihood estimators
    Journal of Econometrics, 2012, 170, (2), 519-537 View citations (41)
24. Term structure movements implicit in Asian option prices
    Quantitative Finance, 2012, 12, (1), 119-134 View citations (9)

2011

25. Do interest rate options contain information about excess returns?
    Journal of Econometrics, 2011, 164, (1), 35-44 View citations (24)

2009

26. Are interest rate options important for the assessment of interest rate risk?
    Journal of Banking & Finance, 2009, 33, (8), 1376-1387 View citations (10)
    See also Working Paper Are Interest Rate Options Important for the Assessment of Interest Rate Risk?, Working Papers Series (2008) View citations (8) (2008)
27. DOES CURVATURE ENHANCE FORECASTING?
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (08), 1171-1196 View citations (9)
    See also Working Paper Does Curvature Enhance Forecasting?, Working Papers Series (2007) View citations (10) (2007)
28. Identifying volatility risk premia from fixed income Asian options
    Journal of Banking & Finance, 2009, 33, (4), 652-661 View citations (11)
    See also Working Paper Identifying Volatility Risk Premium from Fixed Income Asian Options, Working Papers Series (2007) View citations (1) (2007)

2008

29. Extracting Default Probabilities from Sovereign Bonds
    Brazilian Review of Econometrics, 2008, 28, (1)
30. Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial
    Revista Brasileira de Economia - RBE, 2008, 62, (4) View citations (1)
    See also Working Paper Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial, Working Papers Series (2007) View citations (3) (2007)
31. 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 (37)
    See also Working Paper The role of no-arbitrage on forecasting: lessons from a parametric term structure model, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2007) View citations (1) (2007)

2007

32. A Polynomial Term Structure Model with Macroeconomic Variables
    Brazilian Review of Finance, 2007, 5, (1), 79-92
33. Pricing and Modeling Credit Derivatives
    Brazilian Review of Econometrics, 2007, 27, (1)

2005

34. A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models
    Brazilian Review of Econometrics, 2005, 25, (1) View citations (1)
35. 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 (4)
36. Stochastic Volatility and Option Pricing in the Brazilian Stock Marke
    Journal of Emerging Market Finance, 2005, 4, (2), 169-206 View citations (2)

2004

37. TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (07), 919-947 View citations (7)

2003

38. A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS
    International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (08), 885-903 View citations (4)