Access Statistics for Caio Almeida

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Are Interest Rate Options Important for the Assessment of Interest Rate Risk? 0 0 1 65 0 1 3 251
Do Options Contain Information About Excess Bond Returns? 0 0 0 94 0 0 0 377
Does Curvature Enhance Forecasting? 0 0 1 99 0 0 4 239
Forecasting Bond Yields with Segmented Term Structure Models 0 0 1 50 0 1 9 200
Identifying Volatility Risk Premium from Fixed Income Asian Options 0 1 2 178 0 1 4 739
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 0 24 0 1 2 159
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 0 0 1 36
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 78 0 0 1 131
Term Structure Movements Implicit in Option Prices 0 0 1 83 1 1 3 243
The role of no-arbitrage on forecasting: lessons from a parametric term structure model 0 0 0 140 0 0 1 314
Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial 0 0 0 26 0 0 3 183
Total Working Papers 0 1 6 847 1 5 31 2,872

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS 0 0 2 4 0 0 5 22
A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models 0 0 0 6 0 0 2 30
A Polynomial Term Structure Model with Macroeconomic Variables 0 0 1 3 0 0 1 21
A hybrid spline-based parametric model for the yield curve 0 0 0 15 2 2 5 103
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING 0 0 0 3 0 2 3 24
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds 0 0 1 15 0 0 3 116
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model 0 0 0 0 0 1 1 21
Are interest rate options important for the assessment of interest rate risk? 0 0 0 33 0 0 1 155
Assessing misspecified asset pricing models with empirical likelihood estimators 0 1 8 69 1 3 10 228
DOES CURVATURE ENHANCE FORECASTING? 0 0 0 4 0 0 2 27
Do interest rate options contain information about excess returns? 0 0 2 39 0 0 5 156
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters 0 0 0 4 0 0 3 40
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 0 0 18
Extracting Default Probabilities from Sovereign Bonds 0 0 0 2 0 1 3 23
Forecasting Bond Yields with Segmented Term Structure Models 0 0 1 14 1 2 4 86
Forecasting the Brazilian Term Structure Using Macroeconomic Factors 0 0 0 3 0 0 1 42
Identifying volatility risk premia from fixed income Asian options 0 0 0 46 0 1 5 257
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil 0 0 0 4 0 0 2 36
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model 0 0 1 4 0 2 5 42
Long-term Yields Implied by Stochastic Discount Factor Decompositions 0 0 0 1 0 0 0 17
Measuring Long Run Risks for Brazil 0 0 0 3 0 0 0 19
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 0 1 0 0 0 24
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 1 33 2 2 6 150
Pricing Options Embedded in Debentures with Credit Risk 0 0 0 4 0 1 2 33
Pricing and Modeling Credit Derivatives 0 0 0 2 0 0 0 20
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 1 1 2 0 1 1 27
Stochastic Volatility and Option Pricing in the Brazilian Stock Marke 0 0 0 2 0 2 4 36
TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL 1 1 1 11 1 1 1 40
Term structure movements implicit in Asian option prices 0 0 0 10 0 0 0 46
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model 0 0 0 50 0 0 1 229
Total Journal Articles 1 3 19 389 7 21 76 2,088

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Statistics updated 2024-09-04