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

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1,181

SSRN CITATIONS
Rank 46,182

SSRN RANKINGS

Top 46,182

in Total Papers Citations

11

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

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 - CIREQ - Département de sciences économiques
Downloads 301 (127,496)
Citation 2

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

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 - CIREQ - Département de sciences économiques and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 270 (142,795)
Citation 11

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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

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 210 (182,237)
Citation 2

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

4.

Extracting Tail Risk from High-Frequency S&P 500 Returns

Number of pages: 58 Posted: 31 Jul 2018 Last Revised: 13 Jan 2020
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal - CIREQ - Département de sciences économiques and HEC Montréal
Downloads 190 (199,622)

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5.

Nonparametric Option Pricing with Generalized Entropic Estimators

Number of pages: 39 Posted: 10 Dec 2014 Last Revised: 26 Jul 2021
Princeton University, Erasmus School of Economics, Getulio Vargas Foundation (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 165 (225,522)

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

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 45 (499,832)

Abstract:

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