Details about Caio Almeida

Access statistics for papers by Caio Almeida.

Last updated 2020-01-30. Update your information in the RePEc Author Service.

Short-id: pal249

Working Papers

2019

1. Nonparametric Assessment of Hedge Fund Performance
   TSE Working Papers, Toulouse School of Economics (TSE)

2016

2. 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 (23) (2017)

2012

3. 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

4. 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

5. 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)
6. 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)
7. 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)
8. 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)
9. 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 (3)

2006

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

2005

11. Do Options Contain Information About Excess Bond Returns?
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro View citations (7)

Journal Articles

2019

1. Long-term Yields Implied by Stochastic Discount Factor Decompositions
   Brazilian Review of Econometrics, 2019, 39, (1)
2. Measuring Long Run Risks for Brazil
   Brazilian Review of Econometrics, 2019, 39, (1) View citations (1)

2018

3. A hybrid spline-based parametric model for the yield curve
   Journal of Economic Dynamics and Control, 2018, 86, (C), 72-94 View citations (7)
4. 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

5. An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds
   Brazilian Review of Econometrics, 2017, 37, (1)
6. Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
   Journal of Financial Econometrics, 2017, 15, (3), 504-504 View citations (21)
7. Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
   Journal of Financial Econometrics, 2017, 15, (3), 333-376 View citations (23)
   See also Working Paper Nonparametric Tail Risk, Stock Returns and the Macroeconomy, CIRANO Working Papers (2016) View citations (3) (2016)
8. Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
   Journal of Financial Econometrics, 2017, 15, (3), 418-426 View citations (21)

2016

9. 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 (3)
10. Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil
    Brazilian Review of Econometrics, 2016, 36, (2)
11. Pricing Options Embedded in Debentures with Credit Risk
    Brazilian Review of Econometrics, 2016, 36, (1)

2014

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

2012

15. Assessing misspecified asset pricing models with empirical likelihood estimators
    Journal of Econometrics, 2012, 170, (2), 519-537 View citations (38)
16. Term structure movements implicit in Asian option prices
    Quantitative Finance, 2012, 12, (1), 119-134 View citations (9)

2011

17. Do interest rate options contain information about excess returns?
    Journal of Econometrics, 2011, 164, (1), 35-44 View citations (23)

2009

18. 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)
19. 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)
20. 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

21. Extracting Default Probabilities from Sovereign Bonds
    Brazilian Review of Econometrics, 2008, 28, (1)
22. 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)
23. 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

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

2005

26. 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)
27. 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)
28. Stochastic Volatility and Option Pricing in the Brazilian Stock Marke
    Journal of Emerging Market Finance, 2005, 4, (2), 169-206 View citations (2)

2004

29. 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

30. 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)