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Prof. Caio Almeida
Prof. Caio Almeida
Department of Economics, Princeton University
Bestätigte E-Mail-Adresse bei princeton.edu - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Economic implications of nonlinear pricing kernels
C Almeida, R Garcia
Management Science 63 (10), 3361-3380, 2010
97*2010
Assessing misspecified asset pricing models with empirical likelihood estimators
C Almeida, R Garcia
Journal of Econometrics 170 (2), 519-537, 2009
932009
Do interest rate options contain information about excess returns?
C Almeida, JJ Graveline, S Joslin
Journal of Econometrics 164 (1), 35-44, 2011
79*2011
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
752008
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
702017
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
592009
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
312009
Nonparametric assessment of hedge fund performance
C Almeida, K Ardison, R Garcia
Journal of Econometrics 214 (2), 349-378, 2020
302020
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
262018
Identifying volatility risk premia from fixed income Asian options
C Almeida, J Vicente
Journal of Banking & Finance 33 (4), 652-661, 2009
242009
Term structure movements implicit in Asian option prices
C Almeida, J Vicente
Quantitative Finance 12 (1), 119-134, 2012
23*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
232004
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, 497-510, 2008
222008
Pricing of index options in incomplete markets
C Almeida, G Freire
Journal of Financial Economics 144 (1), 174-205, 2022
212022
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
202003
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
182005
Can a Machine Correct Option Pricing Models?
C Almeida, J Fan, G Freire, F Tang
Journal of Business and Economic Statistics, 2022
162022
Forecasting the Brazilian term structure using macroeconomic factors
C Almeida, A Faria
Brazilian Review of Econometrics 34 (1), 45-77, 2014
132014
Credit spread arbitrage in emerging eurobond markets
CIR De Almeida, AM Duarte, CAC Fernandes
Journal of Fixed Income 10 (3), 100-111, 2000
122000
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