9
H index
9
i10 index
261
Citations
Caio Almeida : Citation Profile
Fundação Getúlio Vargas (FGV) | RESEARCH PRODUCTION: 39 Articles 23 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2003 - 2025). 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 | 14 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 4 |
| Journal of Financial Econometrics | 4 |
| Journal of Econometrics | 3 |
| Journal of Banking & Finance | 3 |
| Journal of Business & Economic Statistics | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Princeton University. Economics Department. | 8 |
| Working Papers Series / Central Bank of Brazil, Research Department | 7 |
| Post-Print / HAL | 2 |
Recent works citing Caio Almeida (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Asset pricing under model uncertainty with finite time and states. (2024). Zhang, Wenqing ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:2408.13048. Full description at Econpapers || Download paper |
| 2025 | How does the smart money feel? Hedge fund sentiment, returns, and the business cycle. (2025). Smith, Tom ; Singh, Abhay ; Yahyaei, Hamid. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:47:y:2025:i:c:s2214635025000632. Full description at Econpapers || Download paper |
| 2025 | A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797. Full description at Econpapers || Download paper |
| 2024 | Robust inference for moment condition models without rational expectations. (2024). Hansen, Lars ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:243:y:2024:i:1:s030440762300369x. Full description at Econpapers || Download paper |
| 2025 | Identification-robust and simultaneous inference in multifactor asset pricing models. (2025). Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002665. Full description at Econpapers || Download paper |
| 2025 | Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21. Full description at Econpapers || Download paper |
| 2024 | Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665. Full description at Econpapers || Download paper |
| 2024 | Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187. Full description at Econpapers || Download paper |
| 2024 | A closed-form solution for spot volatility from options under limited data. (2024). Zhou, Chunyang ; Zhang, Aoran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008717. Full description at Econpapers || Download paper |
| 2024 | Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Ardia, David ; Gagliardini, Patrick ; Barras, Laurent. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x. Full description at Econpapers || Download paper |
| 2024 | Modeling volatility in dynamic term structure models. (2024). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001491. Full description at Econpapers || Download paper |
| 2024 | The international linkages of market risk perception. (2024). Vaello-Sebastià, Antoni ; Serrano, Pedro ; Vich-Llompart, Magdalena M ; Vaello-Sebastia, Antoni. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:72:y:2024:i:c:s1042444x23000452. Full description at Econpapers || Download paper |
| 2024 | Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility. (2024). Almeida, Thiago Ramos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001302. Full description at Econpapers || Download paper |
| 2024 | Evaluating asset pricing anomalies: Evidence from Latin America. (2024). Lizarzaburu, Edmundo ; Berggrun, Luis ; Cardona, Emilio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001740. Full description at Econpapers || Download paper |
| 2025 | An information-theoretic asset pricing model. (2025). Ghosh, Anisha ; Taylor, Alex P ; Julliard, Christian. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126155. Full description at Econpapers || Download paper |
| 2024 | A Stochastically Correlated Bivariate Square-Root Model. (2024). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:2:p:31-:d:1363241. Full description at Econpapers || Download paper |
| 2025 | Skew Index: a machine learning forecasting approach. (2025). Mora-Valencia, Andrés ; Vanegas, Esteban. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:1:d:10.1057_s41283-024-00152-6. Full description at Econpapers || Download paper |
| 2024 | Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives. (2024). Baczynski, Jack ; da Silva, Allan Jonathan. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00514-1. Full description at Econpapers || Download paper |
| 2024 | Performance and reporting predictability of hedge funds. (2024). Beckerfoss, Elisa. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2257-2278. Full description at Econpapers || Download paper |
Works by Caio Almeida:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2025 | Risk Premia in the Bitcoin Market In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Term Structure Movements Implicit in Option Prices. In: Working Papers Series. [Full Text][Citation analysis] | paper | 9 |
| 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 nother 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 nother 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 | 4 |
| 2007 | Does Curvature Enhance Forecasting? In: Working Papers Series. [Full Text][Citation analysis] | paper | 10 |
| 2009 | DOES CURVATURE ENHANCE FORECASTING?.(2009) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2008 | Are Interest Rate Options Important for the Assessment of Interest Rate Risk? In: Working Papers Series. [Full Text][Citation analysis] | paper | 10 |
| 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 nother version. Agregated cites: 10 | article | |
| 2012 | Forecasting Bond Yields with Segmented Term Structure Models In: Working Papers Series. [Full Text][Citation analysis] | paper | 11 |
| 2018 | Forecasting Bond Yields with Segmented Term Structure Models.(2018) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2007 | A Polynomial Term Structure Model with Macroeconomic Variables In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Constrained Polynomial Likelihood In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Constrained Polynomial Likelihood.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2025 | Constrained Polynomial Likelihood.(2025) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 23 |
| 2017 | Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2024 | High-Frequency Tail Risk Premium and Stock Return Predictability In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
| 2024 | High-Frequency Tail Risk Premium and Stock Return Predictability.(2024) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | A hybrid spline-based parametric model for the yield curve In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 7 |
| 2011 | Do interest rate options contain information about excess returns? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
| 2012 | Assessing misspecified asset pricing models with empirical likelihood estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
| 2020 | Nonparametric assessment of hedge fund performance In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2020 | Nonparametric Assessment of Hedge Fund Performance.(2020) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2019 | Nonparametric Assessment of Hedge Fund Performance.(2019) In: TSE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 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 | 34 |
| 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 nother version. Agregated cites: 34 | paper | |
| 2022 | Pricing of index options in incomplete markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 4 |
| 2005 | Do Options Contain Information About Excess Bond Returns? In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Economic Implications of Nonlinear Pricing Kernels In: Management Science. [Full Text][Citation analysis] | article | 12 |
| 2017 | Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 20 |
| 2017 | Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2020 | Extracting Tail Risk from High-Frequency S&P 500 Returns In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Can a Machine Correct Option Pricing Models? In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Can a Machine Correct Option Pricing Models?.(2022) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2023 | Can a Machine Correct Option Pricing Models?.(2023) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2022 | Nonparametric Option Pricing with Generalized Entropic Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Nonparametric Option Pricing with Generalized Entropic Estimators.(2023) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2022 | Demand in the Option Market and the Pricing Kernel In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Tail Risk and Asset Prices in the Short-term In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Which (Nonlinear) Factor Models? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 3 |
| 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 | 4 |
| 2016 | Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 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 | Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries 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 |
| 2022 | Tail risk exposures of hedge funds: Evidence from unique Brazilian data 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 | 9 |
| 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 | 6 |
| 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 | 1 |
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