Caio Almeida : Citation Profile


Are you Caio Almeida?

Fundação Getulio Vargas (FGV)

7

H index

3

i10 index

106

Citations

RESEARCH PRODUCTION:

23

Articles

10

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 8
   Journals where Caio Almeida has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 7 (6.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal249
   Updated: 2018-06-23    RAS profile: 2017-09-15    
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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:

Vicente, José Valentim (9)

Guillén, Osmani (6)

Fricke, Christoph (5)

Carriero, Andrea (5)

Wagner, Christian (4)

Sarno, Lucio (4)

Menkhoff, Lukas (4)

Moura, Guilherme (4)

Chague, Fernando (3)

Gospodinov, Nikolay (3)

Tabak, Benjamin (3)

Cites to:

Diebold, Francis (21)

Duffie, Darrell (13)

Singleton, Kenneth (10)

Jagannathan, Ravi (10)

Rudebusch, Glenn (9)

Hansen, Lars (9)

Piazzesi, Monika (8)

Duffee, Greg (8)

Christensen, Jens (7)

Nelson, Charles (7)

Jarrow, Robert (7)

Main data


Where Caio Almeida has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics9
Journal of Banking & Finance3
Journal of Financial Econometrics3
International Journal of Theoretical and Applied Finance (IJTAF)2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers Series / Central Bank of Brazil, Research Department7

Recent works citing Caio Almeida (2018 and 2017)


YearTitle of citing document
2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2018A hybrid spline-based parametric model for the yield curve. (2018). Faria, Adriano ; Almeida, Caio . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:72-94.

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2017Do 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.

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2017Staying 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.

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2017Predicting 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.

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2017Forecasting 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.

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2018Interest 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.

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2018Interest 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.

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2017A 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.

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2017Too 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.

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2017General Aggregation of Misspecified Asset Pricing Models. (2017). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-10.

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2017Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve. (2017). Bekker, Paul A. In: Research Report. RePEc:gro:rugsom:17009-eef.

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2018Forecasting Bond Yields with Segmented Term Structure Models*. (2018). Almeida, Caio ; Vicente, Jose ; Simonsen, Axel ; Kubudi, Daniela ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:1-33..

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2018Ad-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.

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Works by Caio Almeida:


YearTitleTypeCited
2006Term Structure Movements Implicit in Option Prices In: Working Papers Series.
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paper5
2007Identifying Volatility Risk Premium from Fixed Income Asian Options In: Working Papers Series.
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paper9
2009Identifying volatility risk premia from fixed income Asian options.(2009) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 9
article
2007Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial In: Working Papers Series.
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paper3
2008Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial.(2008) In: Revista Brasileira de Economia - RBE.
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This paper has another version. Agregated cites: 3
article
2007Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial In: Working Papers Series.
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paper3
2007Does Curvature Enhance Forecasting? In: Working Papers Series.
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paper8
2009DOES CURVATURE ENHANCE FORECASTING?.(2009) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 8
article
2009Are Interest Rate Options Important for the Assessment of Interest Rate Risk? In: Working Papers Series.
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paper7
2009Are 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
2012Forecasting Bond Yields with Segmented Term Structure Models In: Working Papers Series.
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paper4
2007A Polynomial Term Structure Model with Macroeconomic Variables In: Brazilian Review of Finance.
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article0
2016Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: CIRANO Working Papers.
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paper0
2017Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 0
article
2011Do interest rate options contain information about excess returns? In: Journal of Econometrics.
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article12
2012Assessing misspecified asset pricing models with empirical likelihood estimators In: Journal of Econometrics.
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article13
2008The role of no-arbitrage on forecasting: Lessons from a parametric term structure model In: Journal of Banking & Finance.
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article28
2007The role of no-arbitrage on forecasting: lessons from a parametric term structure model.(2007) In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 28
paper
2005Do Options Contain Information About Excess Bond Returns? In: IBMEC RJ Economics Discussion Papers.
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paper7
2017Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
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article0
2017Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
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article0
2005Stochastic Volatility and Option Pricing in the Brazilian Stock Marke In: Journal of Emerging Market Finance.
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article2
2007Pricing and Modeling Credit Derivatives In: Brazilian Review of Econometrics.
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article0
2008Extracting Default Probabilities from Sovereign Bonds In: Brazilian Review of Econometrics.
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article0
2014Forecasting the Brazilian Term Structure Using Macroeconomic Factors In: Brazilian Review of Econometrics.
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article1
2014Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model In: Brazilian Review of Econometrics.
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article0
2014Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model In: Brazilian Review of Econometrics.
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article1
2016Pricing Options Embedded in Debentures with Credit Risk In: Brazilian Review of Econometrics.
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article0
2016Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters In: Brazilian Review of Econometrics.
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article0
2016Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil In: Brazilian Review of Econometrics.
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article0
2017An SDF Approach to Hedge Funds Tail Risk:Evidence from Brazilian Funds In: Brazilian Review of Econometrics.
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article0
2012Term structure movements implicit in Asian option prices In: Quantitative Finance.
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article3
2005AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING In: International Journal of Theoretical and Applied Finance (IJTAF).
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