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 4 4 255
Can a Machine Correct Option Pricing Models? 0 0 0 10 0 2 6 18
Can a Machine Correct Option Pricing Models? 0 0 1 43 3 5 12 66
Constrained Polynomial Likelihood 0 0 1 2 0 0 2 6
Constrained Polynomial Likelihood 0 0 0 5 0 0 2 4
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 1 3 3 380
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 1 2 5 28
Forecasting Bond Yields with Segmented Term Structure Models 0 0 1 51 6 9 17 218
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 8 8 2 4 7 7
Identifying Volatility Risk Premium from Fixed Income Asian Options 0 0 0 178 1 3 4 743
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 1 1 25 1 4 5 164
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 1 4 9 45
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 0 2 3 19
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 1 10 0 3 6 11
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 1 1 79 0 2 4 135
Risk Premia in the Bitcoin Market 0 0 0 8 7 10 17 23
Tail Risk and Asset Prices in the Short-term 0 1 1 5 3 5 11 21
Term Structure Movements Implicit in Option Prices 0 0 0 84 0 2 4 248
The role of no-arbitrage on forecasting: lessons from a parametric term structure model 0 0 0 141 5 12 13 328
Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial 0 0 0 26 1 2 5 188
Which (Nonlinear) Factor Models? 0 0 0 2 4 4 12 19
Total Working Papers 0 3 17 955 37 84 157 3,173

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 0 2 2 25
A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models 0 0 0 6 4 5 8 39
A Polynomial Term Structure Model with Macroeconomic Variables 0 0 0 3 0 1 1 22
A hybrid spline-based parametric model for the yield curve 0 0 1 16 4 6 13 118
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING 0 0 0 3 0 2 4 29
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds 0 0 0 15 1 2 3 120
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model 0 0 0 0 1 2 5 27
Are interest rate options important for the assessment of interest rate risk? 0 0 0 33 4 5 6 161
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 3 5 5 235
Can a Machine Correct Option Pricing Models? 0 0 1 7 0 1 10 25
Constrained Polynomial Likelihood 0 0 0 0 1 2 3 3
DOES CURVATURE ENHANCE FORECASTING? 0 0 0 4 0 1 1 28
Do interest rate options contain information about excess returns? 0 0 1 40 2 2 4 161
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 1 2 6 34
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters 0 1 2 6 0 1 6 46
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 2 4 5 23
Extracting Default Probabilities from Sovereign Bonds 0 0 1 3 0 1 6 30
Forecasting Bond Yields with Segmented Term Structure Models 0 0 0 14 3 3 4 92
Forecasting the Brazilian Term Structure Using Macroeconomic Factors 1 1 1 4 1 3 4 46
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 2 2 0 0 4 4
Identifying volatility risk premia from fixed income Asian options 0 0 0 46 2 5 7 264
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil 0 0 0 4 1 5 5 41
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model 0 0 2 6 1 3 9 51
Long-term Yields Implied by Stochastic Discount Factor Decompositions 0 0 1 3 2 3 8 27
Measuring Long Run Risks for Brazil 0 0 2 6 0 5 13 34
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 2 3 4 4
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 2 3 4 155
Nonparametric assessment of hedge fund performance 0 0 0 6 0 4 6 41
Pricing Options Embedded in Debentures with Credit Risk 0 0 1 5 0 2 6 39
Pricing and Modeling Credit Derivatives 0 0 0 2 0 1 3 23
Pricing of index options in incomplete markets 0 0 0 12 1 3 11 48
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 2 4 32
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 0 1 2 39
TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL 0 0 0 12 0 2 3 44
Tail risk exposures of hedge funds: Evidence from unique Brazilian data 0 0 1 4 0 0 4 11
Term structure movements implicit in Asian option prices 0 0 0 10 4 5 6 52
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model 0 0 0 52 2 4 5 236
Total Journal Articles 1 2 16 445 44 101 202 2,451

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Statistics updated 2025-12-06