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 12 13 28 279
Can a Machine Correct Option Pricing Models? 0 0 0 43 2 2 14 75
Can a Machine Correct Option Pricing Models? 0 0 1 11 0 1 17 33
Constrained Polynomial Likelihood 0 0 0 2 0 1 9 15
Constrained Polynomial Likelihood 0 0 0 5 0 0 5 9
Demand in the Option Market and the Pricing Kernel 0 0 1 2 2 3 21 25
Do Options Contain Information About Excess Bond Returns? 0 0 1 95 0 0 14 391
Does Curvature Enhance Forecasting? 0 0 0 100 0 0 13 254
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 1 1 11 37
Forecasting Bond Yields with Segmented Term Structure Models 0 0 0 51 1 1 26 235
High-Frequency Tail Risk Premium and Stock Return Predictability 1 1 1 9 1 3 21 24
Identifying Volatility Risk Premium from Fixed Income Asian Options 0 0 0 178 1 1 22 762
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 1 25 0 1 15 175
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 2 2 8 25
Nonparametric Assessment of Hedge Fund Performance 1 1 1 11 2 3 27 68
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 0 10 0 0 8 16
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 2 80 1 1 14 147
Risk Premia in the Bitcoin Market 0 0 0 8 4 13 55 68
Tail Risk and Asset Prices in the Short-term 1 2 5 9 4 6 27 43
Term Structure Movements Implicit in Option Prices 0 0 0 84 0 0 11 257
The role of no-arbitrage on forecasting: lessons from a parametric term structure model 0 0 0 141 0 1 25 341
Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial 0 0 0 26 0 3 13 199
Which (Nonlinear) Factor Models? 1 1 2 4 2 2 14 29
Total Working Papers 4 5 15 967 35 58 418 3,507

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 2 7 0 0 11 34
A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models 0 0 0 6 0 0 11 45
A Polynomial Term Structure Model with Macroeconomic Variables 0 0 0 3 0 1 6 27
A hybrid spline-based parametric model for the yield curve 1 1 1 17 1 3 47 159
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING 0 0 0 3 0 0 8 35
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds 0 0 0 15 0 0 10 128
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model 0 0 0 0 0 0 10 35
Are interest rate options important for the assessment of interest rate risk? 0 0 0 33 0 0 16 172
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 0 0 20 250
Can a Machine Correct Option Pricing Models? 0 0 0 7 1 3 11 35
Constrained Polynomial Likelihood 0 0 0 0 0 0 9 10
DOES CURVATURE ENHANCE FORECASTING? 0 1 1 5 0 2 9 36
Do interest rate options contain information about excess returns? 0 0 1 41 0 1 14 173
Economic Implications of Nonlinear Pricing Kernels 1 1 1 5 3 3 15 47
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters 0 0 1 6 0 0 6 51
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 0 11 30
Extracting Default Probabilities from Sovereign Bonds 0 0 0 3 0 0 10 39
Forecasting Bond Yields with Segmented Term Structure Models 1 1 2 16 1 1 12 101
Forecasting the Brazilian Term Structure Using Macroeconomic Factors 0 0 1 4 0 3 12 55
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 2 4 1 2 30 34
Identifying volatility risk premia from fixed income Asian options 0 0 0 46 0 1 17 276
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil 0 0 0 4 0 1 14 50
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model 0 0 1 7 0 0 9 57
Long-term Yields Implied by Stochastic Discount Factor Decompositions 0 0 0 3 0 0 12 36
Measuring Long Run Risks for Brazil 0 0 0 6 0 1 21 50
Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial 0 0 0 1 0 1 10 34
Nonparametric Option Pricing with Generalized Entropic Estimators 0 0 0 0 0 1 9 10
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 1 1 34 1 3 19 171
Nonparametric assessment of hedge fund performance 0 0 0 6 1 1 15 52
Pricing Options Embedded in Debentures with Credit Risk 0 0 0 5 0 0 6 43
Pricing and Modeling Credit Derivatives 0 0 0 2 1 1 16 38
Pricing of index options in incomplete markets 0 0 0 12 1 2 16 61
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 0 9 39
Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries 0 0 0 3 0 3 10 28
Stochastic Volatility and Option Pricing in the Brazilian Stock Marke 0 0 0 2 1 1 6 44
TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL 1 1 1 13 1 1 10 52
Tail risk exposures of hedge funds: Evidence from unique Brazilian data 0 0 1 5 0 0 11 22
Term structure movements implicit in Asian option prices 0 0 0 10 0 0 11 58
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model 0 0 0 52 0 1 14 246
Total Journal Articles 4 6 16 459 13 37 513 2,863

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Statistics updated 2026-09-10