9
H index
9
i10 index
257
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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Climate risks and U.S. stock?market tail risks: A forecasting experiment using over a century of data. (2023). Salisu, Afees ; van Eyden, Renee ; Gupta, Rangan ; Pierdzioch, Christian. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:228-244. Full description at Econpapers || Download paper |
| 2023 | Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03. Full description at Econpapers || Download paper |
| 2023 | Extreme downside risk in the cross-section of asset returns. (2023). Ergun, Lerby M. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003563. Full description at Econpapers || Download paper |
| 2023 | The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051. Full description at Econpapers || Download paper |
| 2023 | Safety first, loss probability, and the cross section of expected stock returns. (2023). Zhao, Lei ; Rieger, Marc Oliver ; Cao, JI. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:211:y:2023:i:c:p:345-369. Full description at Econpapers || Download paper |
| 2023 | Empirical evaluation of overspecified asset pricing models. (2023). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:338-351. Full description at Econpapers || Download paper |
| 2024 | Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent ; Ardia, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x. Full description at Econpapers || Download paper |
| 2024 | The international linkages of market risk perception. (2024). Vich-Llompart, Magdalena M ; Vaello-Sebastia, Antoni ; Serrano, Pedro. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:72:y:2024:i:c:s1042444x23000452. Full description at Econpapers || Download paper |
| 2023 | A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling. (2023). Resta, Marina ; Castello, Oleksandr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:12:p:4746-:d:1172227. 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 |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2. Full description at Econpapers || Download paper |
| 2023 | Hedging Interest Rate Options with Reinforcement Learning: an investigation of a heavy-tailed distribution. (2023). de Mello, Leonardo Fagundes ; Baczynski, Jack ; da Silva, Allan Jonathan. In: Business and Management Studies. RePEc:rfa:bmsjnl:v:9:y:2023:i:2:p:14. 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 | 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 | 3 |
| 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 |
| 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 | |
| 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 | 22 |
| 2012 | Assessing misspecified asset pricing models with empirical likelihood estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 36 |
| 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 | |
| 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 | 20 |
| 2017 | Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 20 |
| 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 | 3 |
| 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 | 9 |
| 2019 | Nonparametric Assessment of Hedge Fund Performance In: TSE Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 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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