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Caio Almeida

Personal Details

First Name:Caio
Middle Name:
Last Name:Almeida
Suffix:
RePEc Short-ID:pal249
[This author has chosen not to make the email address public]
http://www.fgv.br/professor/calmeida/

Affiliation

EPGE Escola Brasileira de Economia e Finanças
Fundação Getúlio Vargas (FGV)

Rio de Janeiro, Brazil
http://epge.fgv.br/
RePEc:edi:epgvfbr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Caio Almeida & Kim Ardison & Gustavo Freire & René Garcia & Piotr Orlowski, 2024. "High-Frequency Tail Risk Premium and Stock Return Predictability," Post-Print hal-04927211, HAL.
  2. Caio Almeida & Maria Grith & Ratmir Miftachov & Zijin Wang, 2024. "Risk Premia in the Bitcoin Market," Papers 2410.15195, arXiv.org, revised Aug 2025.
  3. Caio Almeida & Gustavo Freire, 2023. "Which (Nonlinear) Factor Models?," Working Papers 2023-07, Princeton University. Economics Department..
  4. Caio Almeida & Gustavo Freire & René Garcia & Rodrigo Hizmeri, 2023. "Tail Risk and Asset Prices in the Short-term," Working Papers 2023-06, Princeton University. Economics Department..
  5. Caio Almeida & Gustavo Freire, 2022. "Demand in the Option Market and the Pricing Kernel," Working Papers 2022-32, Princeton University. Economics Department..
  6. Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2022. "Nonparametric Option Pricing with Generalized Entropic Estimators," Working Papers 2022-25, Princeton University. Economics Department..
  7. Caio Almeida & Paul Schneider, 2021. "Constrained Polynomial Likelihood," Swiss Finance Institute Research Paper Series 21-45, Swiss Finance Institute.
  8. Caio Almeida & Paul Schneider, 2021. "Constrained Polynomial Likelihood," Working Papers 2021-45, Princeton University. Economics Department..
  9. Caio Almeida & Jianqing Fan & Francesca Tang, 2021. "Can a Machine Correct Option Pricing Models?," Working Papers 2021-44, Princeton University. Economics Department..
  10. Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.
  11. Caio Almeida & Kym Ardison & René Garcia & Piotr Orłowski, 2020. "Extracting Tail Risk from High-Frequency S&P 500 Returns," Working Papers 2020-78, Princeton University. Economics Department..
  12. René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
  13. 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.
  14. 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.
  15. 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).
  16. 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.
  17. 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.
  18. 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.
  19. Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2007. "Does Curvature Enhance Forecasting?," Working Papers Series 155, Central Bank of Brazil, Research Department.
  20. 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.
  21. 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

  1. Caio Almeida & Ricardo Masini & Paul Schneider, 2025. "Constrained Polynomial Likelihood," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(2), pages 482-493, April.
  2. Almeida, Caio & Ardison, Kym & Freire, Gustavo & Garcia, René & Orłowski, Piotr, 2024. "High-Frequency Tail Risk Premium and Stock Return Predictability," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 59(8), pages 3633-3670, December.
  3. Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2023. "Nonparametric Option Pricing with Generalized Entropic Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1173-1187, October.
  4. Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2023. "Can a Machine Correct Option Pricing Models?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 995-1009, July.
  5. Almeida, Caio & Fernandes, Marcelo & Valente, Joao Paulo, 2022. "Tail risk exposures of hedge funds: Evidence from unique Brazilian data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 41(1), June.
  6. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
  7. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
  8. Almeida, Caio & Engel, Pedro & Valente, Joao Paulo, 2019. "Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(2), January.
  9. 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.
  10. Almeida, Caio & Brandao, Diego, 2019. "Measuring Long Run Risks for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
  11. 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.
  12. 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.
  13. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. Meres, Bernardo & Almeida, Caio, 2008. "Extracting Default Probabilities from Sovereign Bonds," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(1), May.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.

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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 17 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.
  1. NEP-RMG: Risk Management (6) 2016-05-14 2019-07-22 2022-09-12 2023-12-11 2024-11-25 2025-03-10. Author is listed
  2. NEP-FOR: Forecasting (4) 2007-11-17 2008-01-05 2012-08-23 2022-09-12
  3. NEP-ECM: Econometrics (3) 2022-03-07 2022-03-14 2022-10-31
  4. NEP-FMK: Financial Markets (3) 2005-12-09 2007-06-02 2024-11-25
  5. NEP-ORE: Operations Research (3) 2019-07-22 2022-03-07 2022-03-14
  6. NEP-BIG: Big Data (2) 2022-03-14 2022-09-12
  7. NEP-CMP: Computational Economics (2) 2022-03-14 2022-09-12
  8. NEP-UPT: Utility Models and Prospect Theory (2) 2007-06-02 2025-03-10
  9. NEP-CWA: Central and Western Asia (1) 2022-03-14
  10. NEP-ISF: Islamic Finance (1) 2021-08-16
  11. NEP-MAC: Macroeconomics (1) 2007-12-01
  12. NEP-MST: Market Microstructure (1) 2025-03-10
  13. NEP-PAY: Payment Systems and Financial Technology (1) 2024-11-25
  14. NEP-SEA: South East Asia (1) 2007-06-02

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