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

6

DOWNLOADS
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2,061

SSRN CITATIONS
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SSRN RANKINGS

Top 32,571

in Total Papers Citations

27

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

High-Frequency Tail Risk Premium and Stock Return Predictability

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 57 Posted: 31 Jul 2018 Last Revised: 27 Jul 2023
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Université de Montréal and HEC Montréal
Downloads 651 (73,925)

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Tail Risk, Risk-Neutral Measure, Expected Shortfall, Intra-day Market Returns, Return Predictability

2.

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Journal of Financial Econometrics, Vol. 15, Issue 3, 2017
Number of pages: 58 Posted: 25 Apr 2016 Last Revised: 01 Jun 2021
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 371 (145,419)
Citation 17

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

3.

Nonparametric Assessment of Hedge Fund Performance

Journal of Econometrics, Vol. 214, No. 2, 2020
Number of pages: 62 Posted: 08 Aug 2013 Last Revised: 01 Jun 2021
Caio Almeida, Kym Ardison and René Garcia
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Université de Montréal
Downloads 351 (154,521)
Citation 8

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

4.

Nonparametric Option Pricing with Generalized Entropic Estimators

Number of pages: 35 Posted: 10 Dec 2014 Last Revised: 02 May 2022
Princeton University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Getulio Vargas Foundation (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 329 (165,792)
Citation 1

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Risk-Neutral Measure, Option Pricing, Risk Premium, Nonparametric Estimation, Stochastic Volatility, Jumps, Cressie-Read Discrepancies

5.

Forecasting Bond Yields with Segmented Term Structure Models

Journal of Financial Econometrics, Vol. 16, Issue 1, 2017
Number of pages: 51 Posted: 30 Aug 2013 Last Revised: 01 Jun 2021
Princeton University, 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 273 (201,503)
Citation 2

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

6.

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
Princeton University, 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 86 (522,017)
Citation 1

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