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 1 1 1 252
Can a Machine Correct Option Pricing Models? 0 0 0 10 1 4 5 17
Can a Machine Correct Option Pricing Models? 0 0 1 43 1 4 8 62
Constrained Polynomial Likelihood 0 0 0 5 0 2 2 4
Constrained Polynomial Likelihood 0 0 1 2 0 1 2 6
Demand in the Option Market and the Pricing Kernel 0 0 1 1 0 1 2 4
Do Options Contain Information About Excess Bond Returns? 0 0 0 94 1 1 1 378
Does Curvature Enhance Forecasting? 0 0 1 100 0 0 2 241
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 0 3 4 26
Forecasting Bond Yields with Segmented Term Structure Models 0 0 1 51 0 1 8 209
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 8 8 1 3 4 4
Identifying Volatility Risk Premium from Fixed Income Asian Options 0 0 0 178 2 2 3 742
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 1 1 1 25 2 2 3 162
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 1 4 6 42
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 1 2 2 18
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 1 10 1 2 4 9
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 1 1 1 79 2 2 4 135
Risk Premia in the Bitcoin Market 0 0 8 8 0 2 13 13
Tail Risk and Asset Prices in the Short-term 0 0 1 4 0 4 7 16
Term Structure Movements Implicit in Option Prices 0 0 1 84 1 1 4 247
The role of no-arbitrage on forecasting: lessons from a parametric term structure model 0 0 1 141 1 1 3 317
Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial 0 0 0 26 1 2 4 187
Which (Nonlinear) Factor Models? 0 0 1 2 0 5 9 15
Total Working Papers 2 2 28 954 17 50 101 3,106

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 1 1 1 24
A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models 0 0 0 6 1 1 5 35
A Polynomial Term Structure Model with Macroeconomic Variables 0 0 0 3 1 1 1 22
A hybrid spline-based parametric model for the yield curve 0 0 1 16 2 7 10 114
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING 0 0 0 3 1 1 4 28
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds 0 0 0 15 1 1 2 119
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model 0 0 0 0 1 1 5 26
Are interest rate options important for the assessment of interest rate risk? 0 0 0 33 0 1 1 156
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 1 1 2 231
Can a Machine Correct Option Pricing Models? 0 1 1 7 0 3 10 24
Constrained Polynomial Likelihood 0 0 0 0 1 2 2 2
DOES CURVATURE ENHANCE FORECASTING? 0 0 0 4 0 0 0 27
Do interest rate options contain information about excess returns? 0 0 1 40 0 0 3 159
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 0 0 4 32
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters 1 1 2 6 1 1 6 46
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 0 1 19
Extracting Default Probabilities from Sovereign Bonds 0 0 1 3 1 4 6 30
Forecasting Bond Yields with Segmented Term Structure Models 0 0 0 14 0 1 3 89
Forecasting the Brazilian Term Structure Using Macroeconomic Factors 0 0 0 3 1 2 2 44
High-Frequency Tail Risk Premium and Stock Return Predictability 0 1 2 2 0 2 4 4
Identifying volatility risk premia from fixed income Asian options 0 0 0 46 2 3 4 261
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil 0 0 0 4 1 1 1 37
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model 0 1 2 6 0 3 6 48
Long-term Yields Implied by Stochastic Discount Factor Decompositions 0 0 2 3 1 2 7 25
Measuring Long Run Risks for Brazil 0 0 3 6 2 2 11 31
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 1 1 1
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 1 1 3 153
Nonparametric assessment of hedge fund performance 0 0 0 6 2 3 4 39
Pricing Options Embedded in Debentures with Credit Risk 0 0 1 5 1 2 5 38
Pricing and Modeling Credit Derivatives 0 0 0 2 1 2 3 23
Pricing of index options in incomplete markets 0 0 0 12 1 4 10 46
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 1 1 3 31
Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries 0 0 0 3 0 0 2 18
Stochastic Volatility and Option Pricing in the Brazilian Stock Marke 0 0 0 2 1 1 3 39
TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL 0 0 1 12 0 0 2 42
Tail risk exposures of hedge funds: Evidence from unique Brazilian data 0 0 1 4 0 1 4 11
Term structure movements implicit in Asian option prices 0 0 0 10 0 1 1 47
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model 0 0 2 52 1 2 4 233
Total Journal Articles 1 4 20 444 28 60 146 2,378

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Statistics updated 2025-10-06