EconPapers    
Economics at your fingertips  
 

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 2017-09-15. Update your information in the RePEc Author Service.

Short-id: pal249


Jump to Journal Articles

Working Papers

2016

  1. Nonparametric Tail Risk, Stock Returns and the Macroeconomy
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2017)

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 (10)
    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)
    See also Journal Article in Revista Brasileira de Economia - RBE (2008)
  4. The role of no-arbitrage on forecasting: lessons from a parametric term structure model
    FGV/EPGE 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

2017

  1. An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds
    Brazilian Review of Econometrics, 2017, 37, (1) Downloads
  2. Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 504-504 Downloads
  3. Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 333-376 Downloads
    See also Working Paper (2016)
  4. Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 418-426 Downloads

2016

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

2014

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

2012

  1. Assessing misspecified asset pricing models with empirical likelihood estimators
    Journal of Econometrics, 2012, 170, (2), 519-537 Downloads View citations (10)
  2. 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
    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. Extracting Default Probabilities from Sovereign Bonds
    Brazilian Review of Econometrics, 2008, 28, (1) Downloads
  2. 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) Downloads
    See also Working Paper (2007)
  3. 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 (30)
    See also Working Paper (2007)

2007

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

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 (3)
  2. Stochastic Volatility and Option Pricing in the Brazilian Stock Marke
    Journal of Emerging Market Finance, 2005, 4, (2), 169-206 Downloads View citations (1)
 
Page updated 2017-11-23