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 2 8 12 263
Can a Machine Correct Option Pricing Models? 0 1 1 11 1 8 14 26
Can a Machine Correct Option Pricing Models? 0 0 1 43 1 5 15 71
Constrained Polynomial Likelihood 0 0 0 2 0 4 5 10
Constrained Polynomial Likelihood 0 0 0 5 1 3 5 7
Demand in the Option Market and the Pricing Kernel 0 0 0 1 2 4 7 10
Do Options Contain Information About Excess Bond Returns? 0 0 0 94 2 3 6 383
Does Curvature Enhance Forecasting? 0 0 0 100 1 10 10 251
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 0 5 10 33
Forecasting Bond Yields with Segmented Term Structure Models 0 0 0 51 1 10 23 228
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 8 8 5 8 15 15
Identifying Volatility Risk Premium from Fixed Income Asian Options 0 0 0 178 1 12 16 755
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 1 25 3 8 12 172
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 0 1 4 20
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 3 15 22 60
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 0 10 0 4 9 15
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 1 1 2 80 1 6 10 141
Risk Premia in the Bitcoin Market 0 0 0 8 2 18 31 41
Tail Risk and Asset Prices in the Short-term 0 0 1 5 2 7 16 28
Term Structure Movements Implicit in Option Prices 0 0 0 84 1 8 11 256
The role of no-arbitrage on forecasting: lessons from a parametric term structure model 0 0 0 141 3 10 23 338
Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial 0 0 0 26 2 6 10 194
Which (Nonlinear) Factor Models? 0 0 0 2 2 4 15 23
Total Working Papers 1 2 14 957 36 167 301 3,340

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 6 8 31
A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models 0 0 0 6 0 2 8 41
A Polynomial Term Structure Model with Macroeconomic Variables 0 0 0 3 0 2 3 24
A hybrid spline-based parametric model for the yield curve 0 0 0 16 1 32 44 150
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING 0 0 0 3 0 3 6 32
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds 0 0 0 15 1 3 6 123
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model 0 0 0 0 3 6 8 33
Are interest rate options important for the assessment of interest rate risk? 0 0 0 33 1 7 13 168
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 1 11 16 246
Can a Machine Correct Option Pricing Models? 0 0 1 7 2 5 9 30
Constrained Polynomial Likelihood 0 0 0 0 1 4 7 7
DOES CURVATURE ENHANCE FORECASTING? 0 0 0 4 1 1 2 29
Do interest rate options contain information about excess returns? 0 0 0 40 0 7 10 168
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 0 4 7 38
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters 0 0 1 6 0 4 7 50
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 4 8 27
Extracting Default Probabilities from Sovereign Bonds 0 0 0 3 0 4 8 34
Forecasting Bond Yields with Segmented Term Structure Models 0 1 1 15 1 7 11 99
Forecasting the Brazilian Term Structure Using Macroeconomic Factors 0 0 1 4 1 3 7 49
High-Frequency Tail Risk Premium and Stock Return Predictability 0 1 2 3 6 22 24 26
Identifying volatility risk premia from fixed income Asian options 0 0 0 46 1 8 15 272
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil 0 0 0 4 1 4 9 45
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model 0 0 2 6 0 3 11 54
Long-term Yields Implied by Stochastic Discount Factor Decompositions 0 0 0 3 0 5 11 32
Measuring Long Run Risks for Brazil 0 0 0 6 2 10 19 44
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 0 1 1 5 5 29
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 0 0 0 2 6 6
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 2 8 11 163
Nonparametric assessment of hedge fund performance 0 0 0 6 1 4 10 45
Pricing Options Embedded in Debentures with Credit Risk 0 0 0 5 0 3 8 42
Pricing and Modeling Credit Derivatives 0 0 0 2 6 11 13 34
Pricing of index options in incomplete markets 0 0 0 12 1 5 15 53
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 3 6 35
Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries 0 0 0 3 1 5 7 23
Stochastic Volatility and Option Pricing in the Brazilian Stock Marke 0 0 0 2 0 2 4 41
TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL 0 0 0 12 1 3 5 47
Tail risk exposures of hedge funds: Evidence from unique Brazilian data 0 1 2 5 0 9 12 20
Term structure movements implicit in Asian option prices 0 0 0 10 0 4 10 56
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model 0 0 0 52 2 8 13 244
Total Journal Articles 0 3 10 448 39 239 402 2,690

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Statistics updated 2026-03-04