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Caio Almeida
Caio Almeida
Department of Economics, Princeton University
Verified email at princeton.edu - Homepage
Title
Cited by
Cited by
Year
Economic implications of nonlinear pricing kernels
C Almeida, R Garcia
Management Science 63 (10), 3361-3380, 2010
83*2010
Do interest rate options contain information about excess returns?
C Almeida, JJ Graveline, S Joslin
Journal of Econometrics 164 (1), 35-44, 2011
75*2011
Assessing misspecified asset pricing models with empirical likelihood estimators
C Almeida, R Garcia
Journal of Econometrics 170 (2), 519-537, 2009
752009
The role of no-arbitrage on forecasting: Lessons from a parametric term structure model
C Almeida, J Vicente
Journal of Banking & Finance 32 (12), 2695-2705, 2008
662008
Nonparametric tail risk, stock returns, and the macroeconomy
C Almeida, K Ardison, R Garcia, J Vicente
Journal of Financial Econometrics 15 (3), 333-376, 2017
58*2017
Does curvature enhance forecasting?
C Almeida, R Gomes, A Leite, A Simonsen, J Vicente
International Journal of Theoretical and Applied Finance 12 (08), 1171-1196, 2009
542009
Decomposing and simulating the movements of term structures in emerging eurobonds markets
C Almeida, A Duarte, C Fernandes
Journal of Fixed Income 1, 21-31, 1998
351998
Are interest rate options important for the assessment of interest rate risk?
C Almeida, J Vicente
Journal of Banking & Finance 33 (8), 1376-1387, 2009
262009
Identifying volatility risk premia from fixed income Asian options
C Almeida, J Vicente
Journal of Banking & Finance 33 (4), 652-661, 2009
222009
Term structure movements implicit in Asian option prices
C Almeida, J Vicente
Quantitative Finance 12 (1), 119-134, 2012
21*2012
Time-varying risk premia in emerging markets: Explanation by a multi-factor affine term structure model
C Almeida
International Journal of Theoretical and Applied Finance (IJTAF) 7 (07), 919-947, 2004
212004
Forecasting bond yields with segmented term structure models
C Almeida, K Ardison, D Kubudi, A Simonsen, J Vicente
Journal of Financial Econometrics 16 (1), 1-33, 2018
202018
Movimentos da estrutura a termo e critérios de minimização do erro de previsão em um modelo paramétrico exponencial
C Almeida, R Gomes, A Leite, J Vicente
Revista Brasileira de Economia 62 (4), 497-510, 2008
202008
Affine processes, arbitrage-free term structures of legendre polynomials, and option pricing
CIR De Almeida
International Journal of Theoretical and Applied Finance 8 (02), 161-184, 2005
192005
A generalization of principal component analysis for non-observable term structures in emerging markets
CIR De Almeida, AM Duarte Jr, CAC Fernandes
International Journal of Theoretical and Applied Finance 6 (08), 885-903, 2003
192003
Nonparametric assessment of hedge fund performance
C Almeida, K Ardison, R Garcia
Journal of Econometrics 214 (2), 349-378, 2020
122020
Credit spread arbitrage in emerging eurobond markets
CIR De Almeida, AM Duarte, CAC Fernandes
The journal of fixed income 10 (3), 100-111, 2000
122000
Forecasting the Brazilian term structure using macroeconomic factors
C Almeida, A Faria
Brazilian Review of Econometrics 34 (1), 45-77, 2014
72014
Stochastic volatility and option pricing in the Brazilian stock market: An empirical investigation
CIR de Almeida, S Dana
Journal of Emerging Market Finance 4 (2), 169-206, 2005
72005
A hybrid spline-based parametric model for the yield curve
A Faria, C Almeida
Journal of Economic Dynamics and Control 86, 72-94, 2018
62018
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Articles 1–20