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

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

SCHOLARLY PAPERS

6

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TOTAL CITATIONS
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Top 32,452

in Total Papers Citations

32

Scholarly Papers (6)

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1.

High-Frequency Tail Risk Premium and Stock Return Predictability

Journal of Financial and Quantitative Analysis, 0 [10.1017/S0022109023001199]
Number of pages: 57 Posted: 31 Jul 2018 Last Revised: 27 Jul 2024
Caio Almeida, Kym Ardison, Gustavo Freire, René Garcia and Piotr Orłowski
Princeton University - Bendheim Center for Finance, 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 935 (54,762)

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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, volume 15, issue 3, 2017 [10.1093/jjfinec/nbx007]
Number of pages: 58 Posted: 25 Apr 2016 Last Revised: 27 Jul 2024
Caio Almeida, Kym Ardison, René Garcia and Jose Vicente
Princeton University - Bendheim Center for Finance, 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 458 (137,029)
Citation 19

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

3.

Nonparametric Option Pricing with Generalized Entropic Estimators

Journal of Business & Economic Statistics, volume 41, issue 4, 2023 [10.1080/07350015.2022.2115499]
Number of pages: 35 Posted: 10 Dec 2014 Last Revised: 27 Jul 2024
Caio Almeida, Gustavo Freire, Rafael Azevedo and Kym Ardison
Princeton University - Bendheim Center for Finance, 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 404 (158,472)
Citation 2

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

4.

Nonparametric Assessment of Hedge Fund Performance

Journal of Econometrics, volume 214, issue 2, 2020 [10.1016/j.jeconom.2019.08.002]
Number of pages: 62 Posted: 08 Aug 2013 Last Revised: 27 Jul 2024
Caio Almeida, Kym Ardison and René Garcia
Princeton University - Bendheim Center for Finance, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Université de Montréal
Downloads 377 (171,303)
Citation 8

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

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
Caio Almeida, Kym Ardison, Daniela Kubudi, Axel Simonsen and Jose Vicente
Princeton University - Bendheim Center for Finance, 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 364 (178,149)
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 - Bendheim Center for Finance, 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 142 (442,802)
Citation 1

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