Caio Almeida
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working 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.
Cited by:
- Jin Yuan & Xianghui Yuan, 2023. "A Comprehensive Method for Ranking Mutual Fund Performance," SAGE Open, , vol. 13(2), pages 21582440231, May.
- Milad Nozari, 2021. "Information content of the risk-free rate for the pricing kernel bound," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 267-276, July.
- Fletcher, Jonathan, 2021. "Evaluating the performance of U.S. international equity closed-end funds," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
- 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.
Cited by:
- Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- 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.
- Almeida, Caio & Ardison, Kim & Garcia, René, 2019. "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers 19-1024, Toulouse School of Economics (TSE).
- Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022.
"Asymmetric network connectedness of fears,"
LSE Research Online Documents on Economics
108199, London School of Economics and Political Science, LSE Library.
- Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2018. "Asymmetric Network Connectedness of Fears," Papers 1810.12022, arXiv.org, revised Oct 2020.
- Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2022. "Asymmetric Network Connectedness of Fears," The Review of Economics and Statistics, MIT Press, vol. 104(6), pages 1304-1316, November.
- Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016.
"Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy,"
Working Papers
unige:84999, University of Geneva, Geneva School of Economics and Management.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021.
"Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data,"
Working Papers
202165, University of Pretoria, Department of Economics.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Reneé van Eyden, 2023. "Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 228-244, June.
- Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020.
"Tail Risk Transmission: A Study of Iran Food Industry,"
DEM Working Papers Series
189, University of Pavia, Department of Economics and Management.
- Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, vol. 8(3), pages 1-17, July.
- Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
- K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
- Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
- 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.
- Mora-Valencia, Andrés & Rodríguez-Raga, Santiago & Vanegas, Esteban, 2021. "Skew index: Descriptive analysis, predictive power, and short-term forecast," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021.
"Tail risk measurement in crypto-asset markets,"
International Review of Financial Analysis, Elsevier, vol. 73(C).
- Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2020. "Tail Risk Measurement In Crypto-Asset Markets," DEM Working Papers Series 186, University of Pavia, Department of Economics and Management.
- Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
- Daniel Felix Ahelegbey, 2022.
"Statistical Modelling of Downside Risk Spillovers,"
FinTech, MDPI, vol. 1(2), pages 1-10, April.
- Daniel Felix Ahelegbey, 2020. "Statistical Modelling of Downside Risk Spillovers," DEM Working Papers Series 193, University of Pavia, Department of Economics and Management.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021.
"Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios,"
Working Papers
202161, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
- Qian, Lihua & Zeng, Qing & Lu, Xinjie & Ma, Feng, 2022. "Global tail risk and oil return predictability," Finance Research Letters, Elsevier, vol. 47(PB).
- Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
- Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
- Gupta, Rangan & Sheng, Xin & Pierdzioch, Christian & Ji, Qiang, 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics," Research in International Business and Finance, Elsevier, vol. 58(C).
- Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
- 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.
Cited by:
- Bruno Martins, 2012. "Local Market Structure and Bank Competition: evidence from the Brazilian auto loan market," Working Papers Series 299, Central Bank of Brazil, Research Department.
- Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013.
"Complex networks and banking systems supervision,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
- Theophilos Papadimitriou & Periklis Gogas & Benjamin M. Tabak, 2013. "Complex Networks and Banking Systems Supervision," Working Papers Series 306, Central Bank of Brazil, Research Department.
- Gregory R. Duffee, 2012.
"Forecasting interest rates,"
Economics Working Paper Archive
599, The Johns Hopkins University,Department of Economics.
- Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 385-426, Elsevier.
- Carlos Castro-Iragorri & Juan Felipe Peña & Cristhian Rodríguez, 2021. "A Segmented and Observable Yield Curve for Colombia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(2), pages 179-200.
- Gordon H. Dash & Nina Kajiji & Domenic Vonella, 2018. "The role of supervised learning in the decision process to fair trade US municipal debt," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 139-168, June.
- Zura Kakushadze & Willie Yu, 2020. "Machine Learning Treasury Yields," Bulletin of Applied Economics, Risk Market Journals, vol. 7(1), pages 1-65.
- Zura Kakushadze & Willie Yu, 2020. "Machine Learning Treasury Yields," Papers 2003.05095, arXiv.org.
- Rogier Quaedvlieg & Peter Schotman, 2022. "Hedging Long-Term Liabilities [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, vol. 20(3), pages 505-538.
- Feng, Pan & Qian, Junhui, 2018. "Forecasting the yield curve using a dynamic natural cubic spline model," Economics Letters, Elsevier, vol. 168(C), pages 73-76.
- Lozano-Espitia, Ignacio & Julio-Román, J. Manuel, 2020. "Debt limits and fiscal space for some Latin American economies," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
- 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.
Cited by:
- Fricke, Christoph & Menkhoff, Lukas, 2015. "Financial conditions, macroeconomic factors and disaggregated bond excess returns," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 80-94.
- João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
- Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank.
- Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2333-2345, December.
- Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
- Azamat Abdymomunov & Filippo Curti, 2020. "Quantifying and Stress Testing Operational Risk with Peer Banks’ Data," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(3), pages 287-313, June.
- Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
- Abdymomunov, Azamat & Gerlach, Jeffrey, 2014. "Stress testing interest rate risk exposure," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 287-301.
- 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.
Cited by:
- Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
- Andrea Carriero & Lorenzo Ricci & Elisabetta Vangelista, 2022. "Expectations and term premia in EFSF bond yields," Working Papers 54, European Stability Mechanism.
- Daniela Kubudi & José Valentim Vicente, 2016. "A Joint Model of Nominal and Real Yield Curves," Working Papers Series 452, Central Bank of Brazil, Research Department.
- Argyropoulos Efthymios & Tzavalis Elias, 2015. "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 49-70, February.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012.
"Properties of foreign exchange risk premiums,"
Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.
- Lucio Sarno & Paul Schneider & Christian Wagner, 2012. "Properties of Foreign Exchange Risk Premiums," Working Paper series 10_12, Rimini Centre for Economic Analysis.
- Márcio Poletti Laurini & Armênio Westin Neto, 2014. "Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 77-99, September.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008.
"An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model,"
PIER Working Paper Archive
08-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An arbitrage-free generalized Nelson-Siegel term structure model," Working Paper Series 2008-07, Federal Reserve Bank of San Francisco.
- Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," NBER Working Papers 14463, National Bureau of Economic Research, Inc.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2009. "An arbitrage-free generalized Nelson--Siegel term structure model," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 33-64, November.
- Marco Shinobu Matsumura & Ajax Reynaldo Bello Moreira & José Valentim Machado Vicente, 2010. "Forecasting the Yield Curve with Linear Factor Models," Working Papers Series 223, Central Bank of Brazil, Research Department.
- Gregory R. Duffee, 2012.
"Forecasting interest rates,"
Economics Working Paper Archive
599, The Johns Hopkins University,Department of Economics.
- Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 385-426, Elsevier.
- Eo, Yunjong & Kang, Kyu Ho, 2020.
"The effects of conventional and unconventional monetary policy on forecasting the yield curve,"
Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Eo, Yunjong & Kang, Kyu Ho, 2019. "The Effects of Conventional and Unconventional Monetary Policy on Forecasting the Yield Curve," Working Papers 2019-08, University of Sydney, School of Economics, revised Nov 2019.
- Joyce, Michael & Lildholdt, Peter & Sorensen, Steffen, 2009.
"Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves,"
Bank of England working papers
360, Bank of England.
- Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014.
"No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates,"
CEPR Discussion Papers
9848, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021. "No‐arbitrage priors, drifting volatilities, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 495-516, August.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," Working Papers 20-27, Federal Reserve Bank of Cleveland.
- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
- Fausto Vieira & Fernando Chague, Marcelo Fernandes, 2016.
"A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US,"
Working Papers, Department of Economics
2016_31, University of São Paulo (FEA-USP).
- Vieira, Fausto José Araújo & Chague, Fernando Daniel & Fernandes, Marcelo, 2017. "A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US," Textos para discussão 445, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
- Kessler, Stephan & Scherer, Bernd, 2009. "Varying risk premia in international bond markets," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1361-1375, August.
- Bekker, Paul A., 2017. "Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve," Research Report 17009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- 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.
- Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 133, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Andrade, Sandro C. & Barrett, W. Brian, 2011. "Can broker-dealer client surveys provide signals for debt investing?," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1170-1178, May.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2010.
"Forecasting Government Bond Yields with Large Bayesian VARs,"
CEPR Discussion Papers
7796, C.E.P.R. Discussion Papers.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers 662, Queen Mary University of London, School of Economics and Finance.
- 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.
- Leite, André Luís & Filho, Romeu Braz Pereira Gomes & Vicente, José Valentim Machado, 2010. "Forecasting the yield curve: A statistical model with market survey data," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 108-112, 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.
- Andrea Carriero & Raffaella Giacomini, 2011.
"How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?,"
Post-Print
hal-00844809, HAL.
- Carriero, Andrea & Giacomini, Raffaella, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Journal of Econometrics, Elsevier, vol. 164(1), pages 21-34, September.
- Takamizawa, Hideyuki & 高見澤, 秀幸, 2015. "Impact of No-arbitrage on Interest Rate Dynamics," Working Paper Series G-1-5, Hitotsubashi University Center for Financial Research.
- Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.
- Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
- Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
- 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.
Cited by:
- Flávio de Freitas Val & Claudio Henrique da Silveira Barbedo & Marcelo Verdini Maia, 2011. "Inflation expectation and implicit inflation: does market research provide accurate measures?," Brazilian Business Review, Fucape Business School, vol. 8(3), pages 83-100, July.
- Barbedo, Claudio H.S. & de Melo, Eduardo F.L., 2012. "Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction," Journal of Economics and Business, Elsevier, vol. 64(5), pages 364-376.
- Alessandra Pasqualina Viola & Margarida Sarmiento Gutierrez & Claudio Henrique Barbedo & Andre Luiz Carvalhal da Silva, 2013. "Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression," Brazilian Business Review, Fucape Business School, vol. 10(1), pages 79-101, January.
- 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.
Cited by:
- Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil [Test of Term Structure Models for Brazil]," MPRA Paper 20832, University Library of Munich, Germany.
- Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 133, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- J. C. Arismendi-Zambrano & T. Ramos-Almeida & J. C. Reboredo & M. A. Rivera-Castro, 2020. "Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach," Economics Department Working Paper Series n305-20.pdf, Department of Economics, National University of Ireland - Maynooth.
- Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(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.
Cited by:
- Rafael Barros de Rezende, 2011.
"Giving Flexibility to the Nelson-Siegel Class of Term Structure Models,"
Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
- Rafael Barros de Rezende, 2008. "Giving flexibility to the Nelso-Siegel class of term structure models," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211322560, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
- Mr. Rodrigo Cabral & Mr. Richard Munclinger & Mr. Luiz Alves & Mr. Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 2011/113, International Monetary Fund.
- Marco Shinobu Matsumura & Ajax Reynaldo Bello Moreira & José Valentim Machado Vicente, 2010. "Forecasting the Yield Curve with Linear Factor Models," Working Papers Series 223, Central Bank of Brazil, Research Department.
- Flávio de Freitas Val & Claudio Henrique da Silveira Barbedo & Marcelo Verdini Maia, 2011. "Inflation expectation and implicit inflation: does market research provide accurate measures?," Brazilian Business Review, Fucape Business School, vol. 8(3), pages 83-100, July.
- Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S., 2010. "Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
- 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.
- Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 133, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- 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 & 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.
- Leite, André Luís & Filho, Romeu Braz Pereira Gomes & Vicente, José Valentim Machado, 2010. "Forecasting the yield curve: A statistical model with market survey data," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 108-112, March.
- 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.
Cited by:
- 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.
- Marins, Jaqueline Terra Moura & Vicente, José Valentim Machado, 2017. "Do the central bank actions reduce interest rate volatility?," Economic Modelling, Elsevier, vol. 65(C), pages 129-137.
- Vicente, José Valentim Machado & Guillen, Osmani Teixeira de Carvalho, 2013.
"Do inflation-linked bonds contain information about future inflation?,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(2), June.
- José Valentim Machado Vicente & Osmani Teixeira de Carvalho Guillen, 2010. "Do Inflation-linked Bonds Contain Information about Future Inflation?," Working Papers Series 214, Central Bank of Brazil, Research Department.
- Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
- Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
- Duyvesteyn, Johan & de Zwart, Gerben, 2015. "Riding the swaption curve," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 57-75.
- Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
- Matsumura, Marco S. & Vicente, José Valentim Machado, 2010.
"The role of macroeconomic variables in sovereign risk,"
Emerging Markets Review, Elsevier, vol. 11(3), pages 229-249, September.
- Marcos S. Matsumura & José Valentim Vicente, 2009. "The role of macroeconomic variables in sovereign risk," Working Papers Series 196, Central Bank of Brazil, Research Department.
- 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.
- 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.
Cited by:
- Allan Jonathan da Silva & Jack Baczynski & José Valentim Machado Vicente, 2020. "Efficient Solutions for Pricing and Hedging Interest Rate Asian Options," Working Papers Series 513, Central Bank of Brazil, Research Department.
- Jose Vicente & Benjamin M. Tabak, 2007.
"Forecasting Bonds Yields in the Brazilian Fixed Income Market,"
Working Papers Series
141, Central Bank of Brazil, Research Department.
- Vicente, José & Tabak, Benjamin M., 2008. "Forecasting bond yields in the Brazilian fixed income market," International Journal of Forecasting, Elsevier, vol. 24(3), pages 490-497.
- 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.
- Daniela Kubudi & José Valentim Vicente, 2016. "A Joint Model of Nominal and Real Yield Curves," Working Papers Series 452, Central Bank of Brazil, Research Department.
- José Valentim Machado Vicente, 2021. "A Non-Knotty Inflation Risk Premium Model," Working Papers Series 543, 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.
Cited by:
- Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
- 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.
- Ruslan Bikbov & Mikhail Chernov, 2009. "Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options," Management Science, INFORMS, vol. 55(8), pages 1292-1305, August.
- Peter Feldhütter, 2016. "Can Affine Models Match the Moments in Bond Yields?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-56, June.
- Philippe Mueller & Andrea Vedolin & Yu-min Yen, 2012. "Bond Variance Risk Premia," FMG Discussion Papers dp699, Financial Markets Group.
- Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements.
- Jacobs, Kris & Karoui, Lotfi, 2009. "Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets," Journal of Financial Economics, Elsevier, vol. 91(3), pages 288-318, March.
Articles
- Almeida, Caio & Brandao, Diego, 2019.
"Measuring Long Run Risks for Brazil,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
Cited by:
- 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.
- 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.
See citations under working paper version above.
- 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.
Cited by:
- Zhang Chen & Ibrahim Sakouba, 2021. "Impact of the number of bonds on bond portfolio exposure to interest rate risk," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4777-4797, July.
- Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017.
"Term Structure Analysis with Big Data,"
CREATES Research Papers
2017-31, Department of Economics and Business Economics, Aarhus University.
- Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
- Piero C. Kauffmann & Hellinton H. Takada & Ana T. Terada & Julio M. Stern, 2022. "Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks," Econometrics, MDPI, vol. 10(2), pages 1-15, March.
- Oleksandr Castello & Marina Resta, 2023. "A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling," Energies, MDPI, vol. 16(12), pages 1-22, June.
- Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
- Sabit Khakimzhanov & Yerulan Mustafin & Olzhas Kubenbayev & Dulat Atabek, 2019. "Constructing a Yield Curve in a Market with Low Liquidity," Russian Journal of Money and Finance, Bank of Russia, vol. 78(4), pages 71-98, December.
- 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.
Cited by:
- Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- 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.
- Almeida, Caio & Ardison, Kim & Garcia, René, 2019. "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers 19-1024, Toulouse School of Economics (TSE).
- Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022.
"Asymmetric network connectedness of fears,"
LSE Research Online Documents on Economics
108199, London School of Economics and Political Science, LSE Library.
- Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2018. "Asymmetric Network Connectedness of Fears," Papers 1810.12022, arXiv.org, revised Oct 2020.
- Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2022. "Asymmetric Network Connectedness of Fears," The Review of Economics and Statistics, MIT Press, vol. 104(6), pages 1304-1316, November.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021.
"Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data,"
Working Papers
202165, University of Pretoria, Department of Economics.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Reneé van Eyden, 2023. "Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 228-244, June.
- Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020.
"Tail Risk Transmission: A Study of Iran Food Industry,"
DEM Working Papers Series
189, University of Pavia, Department of Economics and Management.
- Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, vol. 8(3), pages 1-17, July.
- Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
- K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
- Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
- Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021.
"Tail risk measurement in crypto-asset markets,"
International Review of Financial Analysis, Elsevier, vol. 73(C).
- Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2020. "Tail Risk Measurement In Crypto-Asset Markets," DEM Working Papers Series 186, University of Pavia, Department of Economics and Management.
- Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
- Daniel Felix Ahelegbey, 2022.
"Statistical Modelling of Downside Risk Spillovers,"
FinTech, MDPI, vol. 1(2), pages 1-10, April.
- Daniel Felix Ahelegbey, 2020. "Statistical Modelling of Downside Risk Spillovers," DEM Working Papers Series 193, University of Pavia, Department of Economics and Management.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021.
"Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios,"
Working Papers
202161, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
- Qian, Lihua & Zeng, Qing & Lu, Xinjie & Ma, Feng, 2022. "Global tail risk and oil return predictability," Finance Research Letters, Elsevier, vol. 47(PB).
- Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
- Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
- Gupta, Rangan & Sheng, Xin & Pierdzioch, Christian & Ji, Qiang, 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics," Research in International Business and Finance, Elsevier, vol. 58(C).
- Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
- 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.
See citations under working paper version above.
- 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.
"Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 418-426.
Cited by:
- Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- 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.
- Almeida, Caio & Ardison, Kim & Garcia, René, 2019. "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers 19-1024, Toulouse School of Economics (TSE).
- Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022.
"Asymmetric network connectedness of fears,"
LSE Research Online Documents on Economics
108199, London School of Economics and Political Science, LSE Library.
- Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2018. "Asymmetric Network Connectedness of Fears," Papers 1810.12022, arXiv.org, revised Oct 2020.
- Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2022. "Asymmetric Network Connectedness of Fears," The Review of Economics and Statistics, MIT Press, vol. 104(6), pages 1304-1316, November.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021.
"Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data,"
Working Papers
202165, University of Pretoria, Department of Economics.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Reneé van Eyden, 2023. "Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 228-244, June.
- Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020.
"Tail Risk Transmission: A Study of Iran Food Industry,"
DEM Working Papers Series
189, University of Pavia, Department of Economics and Management.
- Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, vol. 8(3), pages 1-17, July.
- Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
- K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
- Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
- Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021.
"Tail risk measurement in crypto-asset markets,"
International Review of Financial Analysis, Elsevier, vol. 73(C).
- Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2020. "Tail Risk Measurement In Crypto-Asset Markets," DEM Working Papers Series 186, University of Pavia, Department of Economics and Management.
- Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
- Daniel Felix Ahelegbey, 2022.
"Statistical Modelling of Downside Risk Spillovers,"
FinTech, MDPI, vol. 1(2), pages 1-10, April.
- Daniel Felix Ahelegbey, 2020. "Statistical Modelling of Downside Risk Spillovers," DEM Working Papers Series 193, University of Pavia, Department of Economics and Management.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021.
"Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios,"
Working Papers
202161, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
- Qian, Lihua & Zeng, Qing & Lu, Xinjie & Ma, Feng, 2022. "Global tail risk and oil return predictability," Finance Research Letters, Elsevier, vol. 47(PB).
- Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
- Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
- Gupta, Rangan & Sheng, Xin & Pierdzioch, Christian & Ji, Qiang, 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics," Research in International Business and Finance, Elsevier, vol. 58(C).
- Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
- 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.
Cited by:
- Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022.
"Relative Risk Aversion: A Meta-Analysis,"
EconStor Preprints
260586, ZBW - Leibniz Information Centre for Economics.
- Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," MetaArXiv b8uhe, Center for Open Science.
- Divino, Jose Angelo & Maciel, Daniel T.G.N. & Sosa, Wilfredo, 2020. "Government size, composition of public spending and economic growth in Brazil," Economic Modelling, Elsevier, vol. 91(C), pages 155-166.
- Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022.
"Relative Risk Aversion: A Meta-Analysis,"
EconStor Preprints
260586, ZBW - Leibniz Information Centre for Economics.
- 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.
Cited by:
- Victor Lapshin, 2019. "A Nonparametric Approach to Bond Portfolio Immunization," Mathematics, MDPI, vol. 7(11), pages 1-12, 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.
Cited by:
- Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando, 2017.
"Forecasting the Brazilian yield curve using forward-looking variables,"
International Journal of Forecasting, Elsevier, vol. 33(1), pages 121-131.
- Fausto Vieira & Fernando Chague & Marcelo Fernandes, 2016. "Forecasting the Brazilian Yield Curve Using Forward-Looking Variables," Working Papers 799, Queen Mary University of London, School of Economics and Finance.
- Lucélia Vaz & Rodrigo Raad, 2021. "Functional data analysis for brazilian term structure of interest rate," Textos para Discussão Cedeplar-UFMG 638, Cedeplar, Universidade Federal de Minas Gerais.
- Renata Tavanielli & Márcio Laurini, 2023. "Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market," Mathematics, MDPI, vol. 11(11), pages 1-28, June.
- Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando, 2017.
"Forecasting the Brazilian yield curve using forward-looking variables,"
International Journal of Forecasting, Elsevier, vol. 33(1), pages 121-131.
- 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.
Cited by:
- Luis Ceballos & Damián Romero, 2015. "Decomposing Long-Term Interest Rates: An International Comparison," Working Papers Central Bank of Chile 767, Central Bank of Chile.
- 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.
Cited by:
- Allan Jonathan da Silva & Jack Baczynski & José Valentim Machado Vicente, 2020. "Efficient Solutions for Pricing and Hedging Interest Rate Asian Options," Working Papers Series 513, 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.
- 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.
- Daniela Kubudi & José Valentim Vicente, 2016. "A Joint Model of Nominal and Real Yield Curves," Working Papers Series 452, Central Bank of Brazil, Research Department.
- Allan Jonathan da Silva & Jack Baczynskiy & José Valentim M. Vicente, 2015. "A Discrete Monitoring Method for Pricing Asian Interest Rate Options," Working Papers Series 409, Central Bank of Brazil, Research Department.
- Xingchun Wang, 2020. "Analytical valuation of Asian options with counterparty risk under stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 410-429, March.
- Allan Jonathan da Silva & Jack Baczynski & Leonardo Fagundes de Mello, 2023. "Hedging Interest Rate Options with Reinforcement Learning: an investigation of a heavy-tailed distribution," Business and Management Studies, Redfame publishing, vol. 9(2), pages 1-14, December.
- José Valentim Machado Vicente, 2021. "A Non-Knotty Inflation Risk Premium Model," Working Papers Series 543, Central Bank of Brazil, Research Department.
- Alan De Genaro & Marco Avellaneda, 2018. "Pricing Interest Rate Derivatives Under Monetary Changes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-28, September.
- Almeida, Caio & Garcia, René, 2012.
"Assessing misspecified asset pricing models with empirical likelihood estimators,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
Cited by:
- Seojeong Lee, 2014.
"Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators,"
Discussion Papers
2014-02, School of Economics, The University of New South Wales.
- Lee, Seojeong, 2016. "Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators," Journal of Econometrics, Elsevier, vol. 192(1), pages 86-104.
- Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013.
"Chi-squared tests for evaluation and comparison of asset pricing models,"
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FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
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