Kym Ardison

Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças

Praia de Botafogo 190/1125, CEP

Rio de Janeiro RJ 22253-900

Brazil

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 49,836

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Top 49,836

in Total Papers Downloads

790

CITATIONS

6

Scholarly Papers (5)

1.

Nonparametric Assessment of Hedge Fund Performance

Number of pages: 62 Posted: 08 Aug 2013 Last Revised: 14 Aug 2019
Caio Almeida, Kym Ardison and René Garcia
Getulio Vargas Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 229 (132,543)
Citation 1

Abstract:

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Stochastic Discount Factors, Performance Measurement, Minimum Discrepancy measures, Nonparametric discounting

2.

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Number of pages: 58 Posted: 25 Apr 2016 Last Revised: 20 Dec 2016
Getulio Vargas Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal - CIREQ - Département de sciences économiques and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 227 (133,716)
Citation 3

Abstract:

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

3.

Forecasting Bond Yields with Segmented Term Structure Models

Number of pages: 51 Posted: 30 Aug 2013 Last Revised: 14 Dec 2016
Getulio Vargas Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 181 (165,260)
Citation 2

Abstract:

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Preferred-Habitat Theory, Error Correction Models, Model Selection, Exponential Splines, Local Shocks

4.

High Frequency Tail Risk

Number of pages: 57 Posted: 31 Jul 2018
Caio Almeida, Kym Ardison and René Garcia
Getulio Vargas Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 112 (243,490)

Abstract:

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5.

Approximating Risk Premium on a Parametric Arbitrage-Free Term Structure Model

Number of pages: 45 Posted: 10 Dec 2014 Last Revised: 15 Apr 2015
Caio Almeida, Kym Ardison and Daniela Kubudi
Getulio Vargas Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 41 (418,011)

Abstract:

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Term structure of interest rates, parametric models, affine models, cross sectional estimation, time series analysis, forecasting