7
H index
3
i10 index
137
Citations
Caio Almeida : Citation Profile
Fundação Getúlio Vargas (FGV) | RESEARCH PRODUCTION: 28 Articles 10 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2003 - 2018). Relations with other researchers
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:
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Main data
Where Caio Almeida has published?
| Journals with more than one article published | # docs |
|---|---|
| Brazilian Review of Econometrics | 10 |
| 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 |
|---|---|
| Working Papers Series / Central Bank of Brazil, Research Department | 7 |
Recent works citing Caio Almeida (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2017 | Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-31. Full description at Econpapers || Download paper |
| 2018 | Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.09996. Full description at Econpapers || Download paper |
| 2018 | Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953. Full description at Econpapers || Download paper |
| 2018 | Robust Estimation with Exponentially Tilted Hellinger Distance. (2018). Antoine, Bertille ; Dovonon, Prosper. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-38. Full description at Econpapers || Download paper |
| 2017 | Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581. Full description at Econpapers || Download paper |
| 2017 | Do the central bank actions reduce interest rate volatility?. (2017). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:129-137. Full description at Econpapers || Download paper |
| 2018 | Forecasting the yield curve using a dynamic natural cubic spline model. (2018). Feng, Pan ; Qian, Junhui. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:73-76. Full description at Econpapers || Download paper |
| 2017 | Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366. Full description at Econpapers || Download paper |
| 2018 | Portfolio optimization based on stochastic dominance and empirical likelihood. (2018). Post, Thierry ; Arvanitis, Stelios ; Karabati, Seluk. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:167-186. Full description at Econpapers || Download paper |
| 2017 | Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218. Full description at Econpapers || Download paper |
| 2017 | Forecasting the Brazilian yield curve using forward-looking variables. (2017). Fernandes, Marcelo ; Chague, Fernando ; Vieira, Fausto . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:121-131. Full description at Econpapers || Download paper |
| 2018 | Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664. Full description at Econpapers || Download paper |
| 2018 | Interest rate volatility, the yield curve, and the macroeconomy. (2018). Joslin, Scott ; Konchitchki, Yaniv. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:344-362. Full description at Econpapers || Download paper |
| 2019 | An anatomy of the market return. (2019). Schneider, Paul. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:325-350. Full description at Econpapers || Download paper |
| 2019 | Too good to be true? Fallacies in evaluating risk factor models. (2019). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:451-471. Full description at Econpapers || Download paper |
| 2018 | Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202. Full description at Econpapers || Download paper |
| 2017 | A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US. (2017). Fernandes, Marcelo ; Chague, Fernando ; Araujo, Fausto Jose . In: Textos para discussão. RePEc:fgv:eesptd:445. Full description at Econpapers || Download paper |
| 2017 | Too Good to Be True? Fallacies in Evaluating Risk Factor Models. (2017). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-09. Full description at Econpapers || Download paper |
| 2017 | General Aggregation of Misspecified Asset Pricing Models. (2017). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-10. Full description at Econpapers || Download paper |
| 2017 | Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Christensen, Jens ; Andreasen, Martin. In: Working Paper Series. RePEc:fip:fedfwp:2017-21. Full description at Econpapers || Download paper |
| 2017 | Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve. (2017). Bekker, Paul A. In: Research Report. RePEc:gro:rugsom:17009-eef. Full description at Econpapers || Download paper |
| 2017 | Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood. (2017). Potì, Valerio ; Post, Thierry ; Poti, Valerio. In: Management Science. RePEc:inm:ormnsc:v:63:y:2017:i:1:p:153-165. Full description at Econpapers || Download paper |
| 2018 | Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812. Full description at Econpapers || Download paper |
| 2018 | The Term Structure of Government Bond Yields in an Emerging Market. (2018). Waliullah, ; Bari, Khadija Malik. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:3:p:5-28. Full description at Econpapers || Download paper |
| 2018 | ROBUST ESTIMATION WITH EXPONENTIALLY TILTED HELLINGER DISTANCE. (2018). Antoine, Bertille ; Dovonon, Prosper. In: Discussion Papers. RePEc:sfu:sfudps:dp18-06. Full description at Econpapers || Download paper |
| 2018 | The role of supervised learning in the decision process to fair trade US municipal debt. (2018). Dash, Gordon H ; Vonella, Domenic ; Kajiji, Nina . In: EURO Journal on Decision Processes. RePEc:spr:eurjdp:v:6:y:2018:i:1:d:10.1007_s40070-018-0079-2. Full description at Econpapers || Download paper |
| 2018 | Ad-Hoc Black–Scholes vis-à-vis TSRV-based Black–Scholes: Evidence from Indian Options Market. (2018). Dixit, Alok ; Singh, Shivam . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0078-3. Full description at Econpapers || Download paper |
| 2019 | Nonparametric Assessment of Hedge Fund Performance. (2019). Garcia, Rene ; Ardison, Kim ; Almeida, Caio . In: TSE Working Papers. RePEc:tse:wpaper:123176. Full description at Econpapers || Download paper |
| 2018 | PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES. (2018). de Genaro, Alan ; Avellaneda, Marco. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500371. Full description at Econpapers || Download paper |
| 2019 | Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. (2019). Liu, Rui. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:09:y:2019:i:01:n:s2010139219400019. Full description at Econpapers || Download paper |
Works by Caio Almeida:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2006 | Term Structure Movements Implicit in Option Prices In: Working Papers Series. [Full Text][Citation analysis] | paper | 6 |
| 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 | 3 |
| 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: 3 | 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 | 3 |
| 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 | 7 |
| 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: 7 | article | |
| 2012 | Forecasting Bond Yields with Segmented Term Structure Models In: Working Papers Series. [Full Text][Citation analysis] | paper | 6 |
| 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: 6 | 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 | 3 |
| 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: 3 | article | |
| 2018 | A hybrid spline-based parametric model for the yield curve In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2011 | Do interest rate options contain information about excess returns? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2012 | Assessing misspecified asset pricing models with empirical likelihood estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
| 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 | 28 |
| 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: 28 | 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 | 3 |
| 2017 | Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 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 | 1 |
| 2014 | Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 0 |
| 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 |
| 2012 | Term structure movements implicit in Asian option prices In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 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 | 4 |
| 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 |
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