Caio Almeida
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Caio |
| last: |
Almeida |
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Contact
Affiliations
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Fundação Getúlio Vargas (FGV)
/ EPGE Escola Brasileira de Economia e Finanças
Research profile
author of:
- Risk Premia in the Bitcoin Market (repec:arx:papers:2410.15195)
by Caio Almeida & Maria Grith & Ratmir Miftachov & Zijin Wang - Term Structure Movements Implicit in Option Prices (repec:bcb:wpaper:128)
by Caio Ibsen R. Almeida & José Valentim M. Vicente - Identifying Volatility Risk Premium from Fixed Income Asian Options (repec:bcb:wpaper:136)
by Caio Ibsen R. Almeida & José Valentim M. Vicente - Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial (repec:bcb:wpaper:146)
by Caio Almeida & Romeu Gomes & André Leite & José Vicente - Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial (repec:bcb:wpaper:148)
by Felipe Pinheiro & Caio Almeida & José Vicente - Does Curvature Enhance Forecasting? (repec:bcb:wpaper:155)
by Caio Almeida & Romeu Gomes & André Leite & José Vicente - Are Interest Rate Options Important for the Assessment of Interest Rate Risk? (repec:bcb:wpaper:179)
by Caio Almeida & José Vicente - Forecasting Bond Yields with Segmented Term Structure Models (repec:bcb:wpaper:288)
by Caio Almeida & Axel Simonsen & José Valentim Vicente - A Polynomial Term Structure Model with Macroeconomic Variables (repec:brf:journl:v:5:y:2007:i:1:p:79-92)
by Felipe Pinheiro & Caio Ibsen Rodrigues de Almeida & José Valentim Vicente - Constrained Polynomial Likelihood (repec:chf:rpseri:rp2145)
by Caio Almeida & Paul Schneider - Nonparametric Tail Risk, Stock Returns and the Macroeconomy (repec:cir:cirwor:2016s-20)
by René Garcia & Caio Almeida & Kym Ardison & Jose Vicente - High-Frequency Tail Risk Premium and Stock Return Predictability (repec:cup:jfinqa:v:59:y:2024:i:8:p:3633-3670_4)
by Almeida, Caio & Ardison, Kym & Freire, Gustavo & Garcia, René & Orłowski, Piotr - A hybrid spline-based parametric model for the yield curve (repec:eee:dyncon:v:86:y:2018:i:c:p:72-94)
by Faria, Adriano & Almeida, Caio - Do interest rate options contain information about excess returns? (repec:eee:econom:v:164:y:2011:i:1:p:35-44)
by Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott - Assessing misspecified asset pricing models with empirical likelihood estimators (repec:eee:econom:v:170:y:2012:i:2:p:519-537)
by Almeida, Caio & Garcia, René - Nonparametric assessment of hedge fund performance (repec:eee:econom:v:214:y:2020:i:2:p:349-378)
by Almeida, Caio & Ardison, Kym & Garcia, René - The role of no-arbitrage on forecasting: Lessons from a parametric term structure model (repec:eee:jbfina:v:32:y:2008:i:12:p:2695-2705)
by Almeida, Caio & Vicente, José - Identifying volatility risk premia from fixed income Asian options (repec:eee:jbfina:v:33:y:2009:i:4:p:652-661)
by Almeida, Caio & Vicente, José - Are interest rate options important for the assessment of interest rate risk? (repec:eee:jbfina:v:33:y:2009:i:8:p:1376-1387)
by Almeida, Caio & Vicente, José - Pricing of index options in incomplete markets (repec:eee:jfinec:v:144:y:2022:i:1:p:174-205)
by Almeida, Caio & Freire, Gustavo - The role of no-arbitrage on forecasting: lessons from a parametric term structure model (repec:fgv:epgewp:657)
by Almeida, Caio Ibsen Rodrigues de & Vicente, José - Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial (repec:fgv:epgrbe:v:62:y:2008:i:4:a:1186)
by Almeida, Caio & Gomes, Romeu & Leite, André & Vicente, José - Nonparametric Assessment of Hedge Fund Performance (repec:hal:journl:hal-02550789)
by Caio Almeida & Kim Ardison & René Garcia - High-Frequency Tail Risk Premium and Stock Return Predictability (repec:hal:journl:hal-04927211)
by Caio Almeida & Kim Ardison & Gustavo Freire & René Garcia & Piotr Orlowski - Do Options Contain Information About Excess Bond Returns? (repec:ibr:dpaper:2005-04)
by Caio Almeida & Jeremy J. Graveline & Scott Joslin - Economic Implications of Nonlinear Pricing Kernels (repec:inm:ormnsc:v:63:y:2017:i:10:p:3361-3380)
by Caio Almeida & René Garcia - Nonparametric Tail Risk, Stock Returns, and the Macroeconomy (repec:oup:jfinec:v:15:y:2017:i:3:p:333-376.)
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente - Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy (repec:oup:jfinec:v:15:y:2017:i:3:p:418-426.)
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente - Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy (repec:oup:jfinec:v:15:y:2017:i:3:p:504-504.)
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente - Forecasting Bond Yields with Segmented Term Structure Models (repec:oup:jfinec:v:16:y:2018:i:1:p:1-33.)
by Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente - Extracting Tail Risk from High-Frequency S&P 500 Returns (repec:pri:econom:2020-78)
by Caio Almeida & Kym Ardison & René Garcia & Piotr Orłowski - Can a Machine Correct Option Pricing Models? (repec:pri:econom:2021-44)
by Caio Almeida & Jianqing Fan & Francesca Tang - Constrained Polynomial Likelihood (repec:pri:econom:2021-45)
by Caio Almeida & Paul Schneider - Nonparametric Option Pricing with Generalized Entropic Estimators (repec:pri:econom:2022-25)
by Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison - Demand in the Option Market and the Pricing Kernel (repec:pri:econom:2022-32)
by Caio Almeida & Gustavo Freire - Can a Machine Correct Option Pricing Models? (repec:pri:econom:2022-9)
by Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang - Tail Risk and Asset Prices in the Short-term (repec:pri:econom:2023-06)
by Caio Almeida & Gustavo Freire & René Garcia & Rodrigo Hizmeri - Which (Nonlinear) Factor Models? (repec:pri:econom:2023-07)
by Caio Almeida & Gustavo Freire - Stochastic Volatility and Option Pricing in the Brazilian Stock Marke (repec:sae:emffin:v:4:y:2005:i:2:p:169-206)
by Caio Ibsen Rodrigues de Almeida & Samy Dana - A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models (repec:sbe:breart:v:25:y:2005:i:1:a:2673)
by Almeida, Caio Ibsen Rodrigues de - Pricing and Modeling Credit Derivatives (repec:sbe:breart:v:27:y:2007:i:1:a:1574)
by Akat, Muzaffer & Almeida, Caio & Papanicolaou, George - Extracting Default Probabilities from Sovereign Bonds (repec:sbe:breart:v:28:y:2008:i:1:a:1518)
by Meres, Bernardo & Almeida, Caio - Forecasting the Brazilian Term Structure Using Macroeconomic Factors (repec:sbe:breart:v:34:y:2014:i:1:a:16642)
by Almeida, Caio & Faria, Adriano - Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model (repec:sbe:breart:v:34:y:2014:i:2:a:18432)
by Almeida, Caio & Lund, Bruno - Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model (repec:sbe:breart:v:34:y:2014:i:2:a:48700)
by Almeida, Caio & Ardison, Kym & Kubudi, Daniela - Pricing Options Embedded in Debentures with Credit Risk (repec:sbe:breart:v:36:y:2016:i:1:a:24027)
by Almeida, Caio & Pereira, Leonardo Tavares - Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters (repec:sbe:breart:v:36:y:2016:i:1:a:51595)
by Faria, Adriano & Ornelas, Rafael & Almeida, Caio - Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil (repec:sbe:breart:v:36:y:2016:i:2:a:18544)
by Almeida, Caio & Ricca, Bernardo & Tessari, Cristina - An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds (repec:sbe:breart:v:37:y:2017:i:1:a:62104)
by Leal, Laura Simonsen & Almeida, Caio - Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries (repec:sbe:breart:v:38:y:2019:i:2:a:76136)
by Almeida, Caio & Engel, Pedro & Valente, Joao Paulo - Long-term Yields Implied by Stochastic Discount Factor Decompositions (repec:sbe:breart:v:39:y:2019:i:1:a:76365)
by Almeida, Caio & Cordeiro, Fernando - Measuring Long Run Risks for Brazil (repec:sbe:breart:v:39:y:2019:i:1:a:77132)
by Almeida, Caio & Brandao, Diego - Tail risk exposures of hedge funds: Evidence from unique Brazilian data (repec:sbe:breart:v:41:y:2022:i:1:a:84411)
by Almeida, Caio & Fernandes, Marcelo & Valente, Joao Paulo - Can a Machine Correct Option Pricing Models? (repec:taf:jnlbes:v:41:y:2023:i:3:p:995-1009)
by Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang - Nonparametric Option Pricing with Generalized Entropic Estimators (repec:taf:jnlbes:v:41:y:2023:i:4:p:1173-1187)
by Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison - Constrained Polynomial Likelihood (repec:taf:jnlbes:v:43:y:2025:i:2:p:482-493)
by Caio Almeida & Ricardo Masini & Paul Schneider - Term structure movements implicit in Asian option prices (repec:taf:quantf:v:12:y:2012:i:1:p:119-134)
by Caio Almeida & Jos� Vicente - Nonparametric Assessment of Hedge Fund Performance (repec:tse:wpaper:123176)
by Almeida, Caio & Ardison, Kim & Garcia, René - A Generalization Of Principal Component Analysis For Non-Observable Term Structures In Emerging Markets (repec:wsi:ijtafx:v:06:y:2003:i:08:n:s0219024903002262)
by Caio Ibsen Rodrigues De Almeida & Antonio Marcos Duarte & Cristiano Augusto Coelho Fernandes - Time-Varying Risk Premia In Emerging Markets: Explanation By A Multi-Factor Affine Term Structure Model (repec:wsi:ijtafx:v:07:y:2004:i:07:n:s0219024904002748)
by Caio Ibsen Rodrigues De Almeida - Affine Processes, Arbitrage-Free Term Structures Of Legendre Polynomials, And Option Pricing (repec:wsi:ijtafx:v:08:y:2005:i:02:n:s0219024905002949)
by Caio Ibsen Rodrigues De Almeida - Does Curvature Enhance Forecasting? (repec:wsi:ijtafx:v:12:y:2009:i:08:n:s0219024909005622)
by Caio Almeida & Romeu Gomes & André Leite & Axel Simonsen & José Vicente