9
H index
8
i10 index
206
Citations
Fundação Getúlio Vargas (FGV) | 9 H index 8 i10 index 206 Citations RESEARCH PRODUCTION: 30 Articles 11 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Caio Almeida. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Brazilian Review of Econometrics | 12 |
Journal of Financial Econometrics | 4 |
International Journal of Theoretical and Applied Finance (IJTAF) | 4 |
Journal of Banking & Finance | 3 |
Journal of Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers Series / Central Bank of Brazil, Research Department | 7 |
Year | Title of citing document |
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2022 | A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data. (2020). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Papers. RePEc:arx:papers:2001.04867. Full description at Econpapers || Download paper |
2020 | Machine Learning Treasury Yields. (2020). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2003.05095. Full description at Econpapers || Download paper |
2020 | Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan . In: Working Papers Series. RePEc:bcb:wpaper:513. Full description at Econpapers || Download paper |
2021 | A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:543. Full description at Econpapers || Download paper |
2020 | Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69. Full description at Econpapers || Download paper |
2020 | Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668. Full description at Econpapers || Download paper |
2021 | A Segmented and Observable Yield Curve for Colombia. (2021). Castro-Iragorri, Carlos ; Rodriguez, Cristhian ; Pea, Juan Felipe. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:2:p:179-200. Full description at Econpapers || Download paper |
2021 | Functional data analysis for brazilian term structure of interest rate. (2021). Raad, Rodrigo ; Vaz, Lucelia. In: Textos para Discussão Cedeplar-UFMG. RePEc:cdp:texdis:td638. Full description at Econpapers || Download paper |
2020 | Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236. Full description at Econpapers || Download paper |
2020 | The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x. Full description at Econpapers || Download paper |
2020 | Government size, composition of public spending and economic growth in Brazil. (2020). Sosa Sandoval, Wilfredo ; Divino, Jose Angelo. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:155-166. Full description at Econpapers || Download paper |
2021 | Skew index: Descriptive analysis, predictive power, and short-term forecast. (2021). Mora-Valencia, Andrés ; Vanegas, Esteban ; Rodriguez-Raga, Santiago . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302370. Full description at Econpapers || Download paper |
2021 | A unified entropic pricing framework of option: Using Cressie-Read family of divergences. (2021). Yu, Xisheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001157. Full description at Econpapers || Download paper |
2021 | Tail risk and investors’ concerns: Evidence from Brazil. (2021). Freire, Gustavo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001364. Full description at Econpapers || Download paper |
2020 | Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378. Full description at Econpapers || Download paper |
2021 | Generalized aggregation of misspecified models: With an application to asset pricing. (2021). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:451-467. Full description at Econpapers || Download paper |
2021 | Robust estimation with exponentially tilted Hellinger distance. (2021). Antoine, Bertille ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:330-344. Full description at Econpapers || Download paper |
2021 | Tail risk measurement in crypto-asset markets. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302477. Full description at Econpapers || Download paper |
2021 | The SKEW index: Extracting what has been left. (2021). Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301194. Full description at Econpapers || Download paper |
2021 | Index option returns and generalized entropy bounds. (2021). Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:1015-1036. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2021 | Evaluating the performance of U.S. international equity closed-end funds. (2021). Fletcher, Jonathan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000165. Full description at Econpapers || Download paper |
2021 | Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics. (2021). GUPTA, RANGAN ; Ji, Qiang ; Pierdzioch, Christian ; Sheng, Xin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001367. Full description at Econpapers || Download paper |
2020 | Asymmetric network connectedness of fears. (2020). BarunÃk, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108199. Full description at Econpapers || Download paper |
2020 | No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:88748. Full description at Econpapers || Download paper |
2022 | Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks. (2022). Stern, Julio M ; Terada, Ana T ; Takada, Hellinton H ; Kauffmann, Piero C. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:15-:d:780065. Full description at Econpapers || Download paper |
2020 | Tail Risk Transmission: A Study of the Iran Food Industry. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojaverian, Seyed Mojtaba ; Mojtahedi, Fatemeh. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:78-:d:387092. Full description at Econpapers || Download paper |
2021 | Risk Arbitrage Opportunities for Stock Index Options. (2021). Longarela, Iaki Rodriguez ; Post, Thierry. In: Operations Research. RePEc:inm:oropre:v:69:y:2021:i:1:p:100-113. Full description at Econpapers || Download paper |
2020 | Quantifying and Stress Testing Operational Risk with Peer Banks’ Data. (2020). Abdymomunov, Azamat ; Curti, Filippo. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:57:y:2020:i:3:d:10.1007_s10693-019-00320-w. Full description at Econpapers || Download paper |
2021 | Accrual mispricing, value-at-risk, and expected stock returns. (2021). Simlai, Prodosh. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00985-2. Full description at Econpapers || Download paper |
2020 | Implicit Entropic Market Risk-Premium from Interest Rate Derivatives. (2020). Arismendi Zambrano, Juan ; Azevedo, R ; Arismendi-Zambrano, J. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n303-20.pdf. Full description at Econpapers || Download paper |
2020 | Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach. (2020). Reboredo, Juan ; Arismendi Zambrano, Juan ; Rivera-Castro, M A ; Ramos-Almeida, T ; Arismendi-Zambrano, J C. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n305-20.pdf. Full description at Econpapers || Download paper |
2020 | Robust Identification of Investor Beliefs. (2020). Hansen, Lars ; Chen, Xiaohong. In: NBER Working Papers. RePEc:nbr:nberwo:27257. Full description at Econpapers || Download paper |
2020 | Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance*. (2020). Ronchetti, Diego ; Gagliardini, Patrick. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:333-394.. Full description at Econpapers || Download paper |
2021 | Information content of the risk-free rate for the pricing kernel bound. (2021). Nozari, Milad. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:4:d:10.1057_s41260-021-00209-1. Full description at Econpapers || Download paper |
2020 | Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186. Full description at Econpapers || Download paper |
2020 | Machine Learning Treasury Yields. (2020). Kakushadze, Zura ; Yu, Willie. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:7:y:2020:i:1:p:1-65. Full description at Econpapers || Download paper |
2021 | Country risk for emerging economies: a dynamical index proposal with a case study.. (2021). Mordecki, Ernesto ; Rodriguez, Andres Sosa. In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:40:y:2021:i:2:a:80944. Full description at Econpapers || Download paper |
2021 | Impact of the number of bonds on bond portfolio exposure to interest rate risk. (2021). Sakouba, Ibrahim ; Chen, Zhang. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4777-4797. Full description at Econpapers || Download paper |
2021 | No?arbitrage priors, drifting volatilities, and the term structure of interest rates. (2021). Clark, Todd ; Carriero, Andrea ; Marcellino, Massimiliano. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:495-516. Full description at Econpapers || Download paper |
2020 | Analytical valuation of Asian options with counterparty risk under stochastic volatility models. (2020). Wang, Xingchun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:410-429. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2006 | Term Structure Movements Implicit in Option Prices In: Working Papers Series. [Full Text][Citation analysis] | paper | 10 |
2007 | Identifying Volatility Risk Premium from Fixed Income Asian Options In: Working Papers Series. [Full Text][Citation analysis] | paper | 9 |
2009 | Identifying volatility risk premia from fixed income Asian options.(2009) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2007 | Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial In: Working Papers Series. [Full Text][Citation analysis] | paper | 4 |
2008 | Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial..(2008) In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2007 | Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
2007 | Does Curvature Enhance Forecasting? In: Working Papers Series. [Full Text][Citation analysis] | paper | 7 |
2009 | DOES CURVATURE ENHANCE FORECASTING?.(2009) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2009 | Are Interest Rate Options Important for the Assessment of Interest Rate Risk? In: Working Papers Series. [Full Text][Citation analysis] | paper | 8 |
2009 | Are interest rate options important for the assessment of interest rate risk?.(2009) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2012 | Forecasting Bond Yields with Segmented Term Structure Models In: Working Papers Series. [Full Text][Citation analysis] | paper | 10 |
2018 | Forecasting Bond Yields with Segmented Term Structure Models.(2018) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2007 | A Polynomial Term Structure Model with Macroeconomic Variables In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
2016 | Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 13 |
2017 | Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2018 | A hybrid spline-based parametric model for the yield curve In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 6 |
2011 | Do interest rate options contain information about excess returns? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
2012 | Assessing misspecified asset pricing models with empirical likelihood estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 34 |
2008 | The role of no-arbitrage on forecasting: Lessons from a parametric term structure model In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 32 |
2007 | The role of no-arbitrage on forecasting: lessons from a parametric term structure model.(2007) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2005 | Do Options Contain Information About Excess Bond Returns? In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2017 | Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 11 |
2017 | Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 11 |
2005 | Stochastic Volatility and Option Pricing in the Brazilian Stock Marke In: Journal of Emerging Market Finance. [Full Text][Citation analysis] | article | 2 |
2005 | A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
2007 | Pricing and Modeling Credit Derivatives In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
2008 | Extracting Default Probabilities from Sovereign Bonds In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
2014 | Forecasting the Brazilian Term Structure Using Macroeconomic Factors In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 2 |
2014 | Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
2014 | Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
2016 | Pricing Options Embedded in Debentures with Credit Risk In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
2016 | Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
2016 | Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
2017 | An SDF Approach to Hedge Funds Tail Risk:Evidence from Brazilian Funds In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
2019 | Long-term Yields Implied by Stochastic Discount Factor Decompositions In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
2019 | Measuring Long Run Risks for Brazil In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
2012 | Term structure movements implicit in Asian option prices In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
2019 | Nonparametric Assessment of Hedge Fund Performance In: TSE Working Papers. [Full Text][Citation analysis] | paper | 2 |
2003 | A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
2004 | TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 5 |
2005 | AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team