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 3 5 15 266
Can a Machine Correct Option Pricing Models? 0 0 1 11 3 6 18 31
Can a Machine Correct Option Pricing Models? 0 0 1 43 1 2 15 72
Constrained Polynomial Likelihood 0 0 0 2 3 4 9 14
Constrained Polynomial Likelihood 0 0 0 5 2 3 7 9
Demand in the Option Market and the Pricing Kernel 1 1 1 2 10 12 17 20
Do Options Contain Information About Excess Bond Returns? 1 1 1 95 6 10 14 391
Does Curvature Enhance Forecasting? 0 0 0 100 3 4 13 254
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 1 1 11 34
Forecasting Bond Yields with Segmented Term Structure Models 0 0 0 51 4 6 26 233
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 0 8 3 11 20 21
Identifying Volatility Risk Premium from Fixed Income Asian Options 0 0 0 178 3 6 21 760
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 1 25 2 5 14 174
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 1 2 6 22
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 4 8 27 65
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 0 10 0 0 8 15
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 1 2 80 4 5 13 145
Risk Premia in the Bitcoin Market 0 0 0 8 5 15 44 54
Tail Risk and Asset Prices in the Short-term 1 1 2 6 3 10 24 36
Term Structure Movements Implicit in Option Prices 0 0 0 84 1 2 11 257
The role of no-arbitrage on forecasting: lessons from a parametric term structure model 0 0 0 141 2 5 24 340
Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial 0 0 0 26 2 4 12 196
Which (Nonlinear) Factor Models? 1 1 1 3 3 6 17 27
Total Working Papers 4 5 10 961 69 132 386 3,436

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 1 1 6 1 3 10 33
A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models 0 0 0 6 3 4 12 45
A Polynomial Term Structure Model with Macroeconomic Variables 0 0 0 3 1 1 4 25
A hybrid spline-based parametric model for the yield curve 0 0 0 16 6 7 50 156
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING 0 0 0 3 2 2 8 34
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds 0 0 0 15 2 6 10 128
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model 0 0 0 0 0 5 10 35
Are interest rate options important for the assessment of interest rate risk? 0 0 0 33 3 4 16 171
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 3 5 20 250
Can a Machine Correct Option Pricing Models? 0 0 1 7 2 4 11 32
Constrained Polynomial Likelihood 0 0 0 0 0 3 9 9
DOES CURVATURE ENHANCE FORECASTING? 0 0 0 4 5 6 7 34
Do interest rate options contain information about excess returns? 0 1 1 41 2 4 13 172
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 4 5 11 43
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters 0 0 1 6 1 1 6 51
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 2 2 10 29
Extracting Default Probabilities from Sovereign Bonds 0 0 0 3 2 5 13 39
Forecasting Bond Yields with Segmented Term Structure Models 0 0 1 15 0 2 12 100
Forecasting the Brazilian Term Structure Using Macroeconomic Factors 0 0 1 4 2 4 10 52
High-Frequency Tail Risk Premium and Stock Return Predictability 1 1 3 4 4 12 30 32
Identifying volatility risk premia from fixed income Asian options 0 0 0 46 2 3 16 274
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil 0 0 0 4 1 3 11 47
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model 0 0 2 6 1 1 11 55
Long-term Yields Implied by Stochastic Discount Factor Decompositions 0 0 0 3 3 4 14 36
Measuring Long Run Risks for Brazil 0 0 0 6 4 6 22 48
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 0 1 3 4 8 32
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 0 0 2 2 8 8
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 4 7 16 168
Nonparametric assessment of hedge fund performance 0 0 0 6 5 6 14 50
Pricing Options Embedded in Debentures with Credit Risk 0 0 0 5 1 1 9 43
Pricing and Modeling Credit Derivatives 0 0 0 2 3 9 16 37
Pricing of index options in incomplete markets 0 0 0 12 2 6 18 58
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 2 3 9 38
Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries 0 0 0 3 2 3 8 25
Stochastic Volatility and Option Pricing in the Brazilian Stock Marke 0 0 0 2 2 2 6 43
TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL 0 0 0 12 1 4 8 50
Tail risk exposures of hedge funds: Evidence from unique Brazilian data 0 0 2 5 2 2 13 22
Term structure movements implicit in Asian option prices 0 0 0 10 1 1 11 57
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model 0 0 0 52 1 3 14 245
Total Journal Articles 1 3 13 451 87 155 504 2,806

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Statistics updated 2026-05-06