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 0 65 4 7 8 259
Can a Machine Correct Option Pricing Models? 1 1 1 11 4 5 10 22
Can a Machine Correct Option Pricing Models? 0 0 1 43 3 7 13 69
Constrained Polynomial Likelihood 0 0 0 5 0 0 2 4
Constrained Polynomial Likelihood 0 0 0 2 1 1 2 7
Demand in the Option Market and the Pricing Kernel 0 0 1 1 0 2 4 6
Do Options Contain Information About Excess Bond Returns? 0 0 0 94 0 2 3 380
Does Curvature Enhance Forecasting? 0 0 1 100 4 4 6 245
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 1 3 6 29
Forecasting Bond Yields with Segmented Term Structure Models 0 0 1 51 5 14 21 223
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 8 8 2 5 9 9
Identifying Volatility Risk Premium from Fixed Income Asian Options 0 0 0 178 3 4 7 746
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 1 25 1 3 5 165
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 3 6 11 48
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 0 1 3 19
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 1 10 2 4 8 13
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 1 79 2 2 6 137
Risk Premia in the Bitcoin Market 0 0 0 8 5 15 21 28
Tail Risk and Asset Prices in the Short-term 0 1 1 5 3 8 13 24
Term Structure Movements Implicit in Option Prices 0 0 0 84 2 3 6 250
The role of no-arbitrage on forecasting: lessons from a parametric term structure model 0 0 0 141 1 12 14 329
Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial 0 0 0 26 2 3 7 190
Which (Nonlinear) Factor Models? 0 0 0 2 0 4 12 19
Total Working Papers 1 2 17 956 48 115 197 3,221

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 0 5 3 4 5 28
A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models 0 0 0 6 0 4 7 39
A Polynomial Term Structure Model with Macroeconomic Variables 0 0 0 3 1 1 2 23
A hybrid spline-based parametric model for the yield curve 0 0 0 16 8 12 20 126
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING 0 0 0 3 1 2 5 30
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds 0 0 0 15 1 2 4 121
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model 0 0 0 0 2 3 7 29
Are interest rate options important for the assessment of interest rate risk? 0 0 0 33 3 8 9 164
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 2 6 7 237
Can a Machine Correct Option Pricing Models? 0 0 1 7 0 1 5 25
Constrained Polynomial Likelihood 0 0 0 0 1 2 4 4
DOES CURVATURE ENHANCE FORECASTING? 0 0 0 4 0 1 1 28
Do interest rate options contain information about excess returns? 0 0 0 40 1 3 4 162
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 1 3 6 35
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters 0 0 2 6 1 1 6 47
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 1 5 6 24
Extracting Default Probabilities from Sovereign Bonds 0 0 1 3 0 0 6 30
Forecasting Bond Yields with Segmented Term Structure Models 0 0 0 14 1 4 5 93
Forecasting the Brazilian Term Structure Using Macroeconomic Factors 0 1 1 4 0 2 4 46
High-Frequency Tail Risk Premium and Stock Return Predictability 1 1 3 3 9 9 13 13
Identifying volatility risk premia from fixed income Asian options 0 0 0 46 5 8 12 269
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil 0 0 0 4 0 4 5 41
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model 0 0 2 6 2 5 11 53
Long-term Yields Implied by Stochastic Discount Factor Decompositions 0 0 1 3 1 3 9 28
Measuring Long Run Risks for Brazil 0 0 2 6 5 8 18 39
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 Option Pricing with Generalized Entropic Estimators 0 0 0 0 0 3 4 4
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 3 5 6 158
Nonparametric assessment of hedge fund performance 0 0 0 6 1 3 7 42
Pricing Options Embedded in Debentures with Credit Risk 0 0 1 5 0 1 6 39
Pricing and Modeling Credit Derivatives 0 0 0 2 1 1 4 24
Pricing of index options in incomplete markets 0 0 0 12 2 4 13 50
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 2 3 6 34
Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries 0 0 0 3 1 1 3 19
Stochastic Volatility and Option Pricing in the Brazilian Stock Marke 0 0 0 2 1 1 3 40
TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL 0 0 0 12 1 3 3 45
Tail risk exposures of hedge funds: Evidence from unique Brazilian data 1 1 2 5 5 5 8 16
Term structure movements implicit in Asian option prices 0 0 0 10 1 6 7 53
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model 0 0 0 52 2 5 7 238
Total Journal Articles 2 3 16 447 69 142 258 2,520

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Statistics updated 2026-01-09