Caio Almeida
Personal Details
First Name: | Caio |
Middle Name: | |
Last Name: | Almeida |
Suffix: | |
RePEc Short-ID: | pal249 |
| |
http://www.fgv.br/professor/calmeida/ | |
Affiliation
EPGE Escola Brasileira de Economia e Finanças
Fundação Getúlio Vargas (FGV)
Rio de Janeiro, Brazilhttp://epge.fgv.br/
RePEc:edi:epgvfbr (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Almeida, Caio & Ardison, Kim & Garcia, René, 2019.
"Nonparametric Assessment of Hedge Fund Performance,"
TSE Working Papers
19-1024, Toulouse School of Economics (TSE).
- Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
- Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.
- René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016.
"Nonparametric Tail Risk, Stock Returns and the Macroeconomy,"
CIRANO Working Papers
2016s-20, CIRANO.
- Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 333-376.
- Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012.
"Forecasting Bond Yields with Segmented Term Structure Models,"
Working Papers Series
288, Central Bank of Brazil, Research Department.
- Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
- Caio Almeida & José Vicente, 2008.
"Are Interest Rate Options Important for the Assessment of Interest Rate Risk?,"
Working Papers Series
179, Central Bank of Brazil, Research Department.
- Almeida, Caio & Vicente, José, 2009. "Are interest rate options important for the assessment of interest rate risk?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1376-1387, August.
- Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007.
"The role of no-arbitrage on forecasting: lessons from a parametric term structure model,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Almeida, Caio & Vicente, José, 2008. "The role of no-arbitrage on forecasting: Lessons from a parametric term structure model," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2695-2705, December.
- Felipe Pinheiro & Caio Almeida & José Vicente, 2007. "Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial," Working Papers Series 148, Central Bank of Brazil, Research Department.
- Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2007.
"Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial,"
Working Papers Series
146, Central Bank of Brazil, Research Department.
- Almeida, Caio & Gomes, Romeu & Leite, André & Vicente, José, 2008. "Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(4), December.
- Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2007.
"Does Curvature Enhance Forecasting?,"
Working Papers Series
155, Central Bank of Brazil, Research Department.
- Caio Almeida & Romeu Gomes & André Leite & Axel Simonsen & José Vicente, 2009. "Does Curvature Enhance Forecasting?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1171-1196.
- Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007.
"Identifying Volatility Risk Premium from Fixed Income Asian Options,"
Working Papers Series
136, Central Bank of Brazil, Research Department.
- Almeida, Caio & Vicente, José, 2009. "Identifying volatility risk premia from fixed income Asian options," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 652-661, April.
- Caio Ibsen R. Almeida & José Valentim M. Vicente, 2006. "Term Structure Movements Implicit in Option Prices," Working Papers Series 128, Central Bank of Brazil, Research Department.
- Caio Almeida & Jeremy J. Graveline & Scott Joslin, 2005. "Do Options Contain Information About Excess Bond Returns?," IBMEC RJ Economics Discussion Papers 2005-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
Articles
- Almeida, Caio & Cordeiro, Fernando, 2019. "Long-term Yields Implied by Stochastic Discount Factor Decompositions," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
- Almeida, Caio & Brandao, Diego, 2019. "Measuring Long Run Risks for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
- Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018.
"Forecasting Bond Yields with Segmented Term Structure Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
- Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
- Faria, Adriano & Almeida, Caio, 2018. "A hybrid spline-based parametric model for the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 72-94.
- Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 504-504.
- Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017.
"Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 333-376.
- René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
- Leal, Laura Simonsen & Almeida, Caio, 2017. "An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
- Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 418-426.
- Almeida, Caio & Ricca, Bernardo & Tessari, Cristina, 2016. "Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
- Faria, Adriano & Ornelas, Rafael & Almeida, Caio, 2016. "Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.
- Almeida, Caio & Pereira, Leonardo Tavares, 2016. "Pricing Options Embedded in Debentures with Credit Risk," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.
- Almeida, Caio & Lund, Bruno, 2014. "Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
- Almeida, Caio & Faria, Adriano, 2014. "Forecasting the Brazilian Term Structure Using Macroeconomic Factors," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(1), March.
- Almeida, Caio & Ardison, Kym & Kubudi, Daniela, 2014. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
- Caio Almeida & Jos� Vicente, 2012. "Term structure movements implicit in Asian option prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 119-134, February.
- Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
- Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, vol. 164(1), pages 35-44, September.
- Almeida, Caio & Vicente, José, 2009.
"Are interest rate options important for the assessment of interest rate risk?,"
Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1376-1387, August.
- Caio Almeida & José Vicente, 2008. "Are Interest Rate Options Important for the Assessment of Interest Rate Risk?," Working Papers Series 179, Central Bank of Brazil, Research Department.
- Caio Almeida & Romeu Gomes & André Leite & Axel Simonsen & José Vicente, 2009.
"Does Curvature Enhance Forecasting?,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1171-1196.
- Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2007. "Does Curvature Enhance Forecasting?," Working Papers Series 155, Central Bank of Brazil, Research Department.
- Almeida, Caio & Vicente, José, 2009.
"Identifying volatility risk premia from fixed income Asian options,"
Journal of Banking & Finance, Elsevier, vol. 33(4), pages 652-661, April.
- Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007. "Identifying Volatility Risk Premium from Fixed Income Asian Options," Working Papers Series 136, Central Bank of Brazil, Research Department.
- Almeida, Caio & Vicente, José, 2008.
"The role of no-arbitrage on forecasting: Lessons from a parametric term structure model,"
Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2695-2705, December.
- Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007. "The role of no-arbitrage on forecasting: lessons from a parametric term structure model," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Almeida, Caio & Gomes, Romeu & Leite, André & Vicente, José, 2008.
"Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(4), December.
- Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2007. "Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial," Working Papers Series 146, Central Bank of Brazil, Research Department.
- Meres, Bernardo & Almeida, Caio, 2008. "Extracting Default Probabilities from Sovereign Bonds," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(1), May.
- Felipe Pinheiro & Caio Ibsen Rodrigues de Almeida & José Valentim Vicente, 2007. "A Polynomial Term Structure Model with Macroeconomic Variables," Brazilian Review of Finance, Brazilian Society of Finance, vol. 5(1), pages 79-92.
- Akat, Muzaffer & Almeida, Caio & Papanicolaou, George, 2007. "Pricing and Modeling Credit Derivatives," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
- Caio Ibsen Rodrigues De Almeida, 2005. "Affine Processes, Arbitrage-Free Term Structures Of Legendre Polynomials, And Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 161-184.
- Almeida, Caio Ibsen Rodrigues de, 2005. "A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(1), May.
- Caio Ibsen Rodrigues de Almeida & Samy Dana, 2005. "Stochastic Volatility and Option Pricing in the Brazilian Stock Marke," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(2), pages 169-206, August.
- Caio Ibsen Rodrigues De Almeida, 2004. "Time-Varying Risk Premia In Emerging Markets: Explanation By A Multi-Factor Affine Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(07), pages 919-947.
- Caio Ibsen Rodrigues De Almeida & Antonio Marcos Duarte & Cristiano Augusto Coelho Fernandes, 2003. "A Generalization Of Principal Component Analysis For Non-Observable Term Structures In Emerging Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(08), pages 885-903.
More information
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FOR: Forecasting (3) 2007-11-17 2008-01-05 2012-08-23
- NEP-FMK: Financial Markets (2) 2005-12-09 2007-06-02
- NEP-RMG: Risk Management (2) 2016-05-14 2019-07-22
- NEP-MAC: Macroeconomics (1) 2007-12-01
- NEP-ORE: Operations Research (1) 2019-07-22
- NEP-SEA: South East Asia (1) 2007-06-02
- NEP-UPT: Utility Models and Prospect Theory (1) 2007-06-02
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