7
H index
3
i10 index
173
Citations
Caio Almeida : Citation Profile
Fundação Getúlio Vargas (FGV) | RESEARCH PRODUCTION: 30 Articles 11 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2003 - 2019). 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 | 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 |
|---|---|
| Working Papers Series / Central Bank of Brazil, Research Department | 7 |
Recent works citing Caio Almeida (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
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 | 8 |
| 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 | 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 | 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 | 8 |
| 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: 8 | 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 | 7 |
| 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: 7 | article | |
| 2018 | A hybrid spline-based parametric model for the yield curve In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
| 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 | 28 |
| 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 | 31 |
| 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: 31 | 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 | 6 |
| 2017 | Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
| 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 | 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 | 0 |
| 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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