Caio Almeida : Citation Profile


Are you Caio Almeida?

Fundação Getúlio Vargas (FGV)

7

H index

3

i10 index

173

Citations

RESEARCH PRODUCTION:

30

Articles

11

Papers

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 10
   Journals where Caio Almeida has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 14 (7.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal249
   Updated: 2021-02-20    RAS profile: 2020-01-30    
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Relations with other researchers


Works with:

Garcia, René (5)

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 (9)

Moreno Gutiérrez, José (8)

Schneider, Paul (8)

Garcia, René (5)

Fricke, Christoph (5)

Carriero, Andrea (5)

Fernandes, Marcelo (5)

Giudici, Paolo (4)

Moura, Guilherme (4)

Menkhoff, Lukas (4)

Cites to:

Diebold, Francis (27)

Singleton, Kenneth (17)

Duffie, Darrell (16)

Jagannathan, Ravi (12)

Hansen, Lars (11)

Rudebusch, Glenn (10)

Piazzesi, Monika (9)

Nelson, Charles (9)

Jarrow, Robert (8)

Gollier, Christian (7)

Wu, Liuren (7)

Main data


Where Caio Almeida has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics12
Journal of Financial Econometrics4
International Journal of Theoretical and Applied Finance (IJTAF)4
Journal of Banking & Finance3
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 (2021 and 2020)


YearTitle of citing document
2020A 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.

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2020Machine Learning Treasury Yields. (2020). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2003.05095.

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2020Efficient 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.

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2021A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:543.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2020Decomposing 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.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2020The 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.

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2020Government 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.

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2020Nonparametric 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.

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2020Asymmetric network connectedness of fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108199.

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2020No-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.

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2020Tail 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.

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2020Quantifying 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.

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2020Implicit 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.

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2020Identifying 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.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Lars ; Chen, Xiaohong. In: NBER Working Papers. RePEc:nbr:nberwo:27257.

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2020Comparing 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..

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2020Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186.

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2020Machine 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.

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2020Analytical 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.

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Works by Caio Almeida:


YearTitleTypeCited
2006Term Structure Movements Implicit in Option Prices In: Working Papers Series.
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paper8
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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paper4
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: 4
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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paper7
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: 7
article
2009Are Interest Rate Options Important for the Assessment of Interest Rate Risk? In: Working Papers Series.
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paper8
2009Are interest rate options important for the assessment of interest rate risk?.(2009) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 8
article
2012Forecasting Bond Yields with Segmented Term Structure Models In: Working Papers Series.
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paper8
2018Forecasting Bond Yields with Segmented Term Structure Models.(2018) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 8
article
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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paper7
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: 7
article
2018A hybrid spline-based parametric model for the yield curve In: Journal of Economic Dynamics and Control.
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article4
2011Do interest rate options contain information about excess returns? In: Journal of Econometrics.
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article20
2012Assessing misspecified asset pricing models with empirical likelihood estimators In: Journal of Econometrics.
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article28
2008The role of no-arbitrage on forecasting: Lessons from a parametric term structure model In: Journal of Banking & Finance.
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article31
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: 31
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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article6
2017Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
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article6
2005Stochastic Volatility and Option Pricing in the Brazilian Stock Marke In: Journal of Emerging Market Finance.
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article2
2005A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models In: Brazilian Review of Econometrics.
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article1
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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article1
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
2019Long-term Yields Implied by Stochastic Discount Factor Decompositions In: Brazilian Review of Econometrics.
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article0
2019Measuring Long Run Risks for Brazil 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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article7
2019Nonparametric Assessment of Hedge Fund Performance In: TSE Working Papers.
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paper0
2003A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0
2004TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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article4
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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article0

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