Caio Almeida

Getulio Vargas Foundation

Associate Professor

Praia de Botafogo 190, 11o andar

Botafogo

Rio de Janeiro, Rio de Janeiro 22250-900

Brazil

http://www.fgv.br/professor/calmeida/

SCHOLARLY PAPERS

10

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CITATIONS
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7

Scholarly Papers (10)

1.

Economic Implications of Nonlinear Pricing Kernels

AFA 2009 San Francisco Meetings Paper
Number of pages: 41 Posted: 25 Mar 2008 Last Revised: 21 Dec 2016
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 389 (43,144)
Citation 2

Abstract:

Stochastic Discount Factor, Information-Theoretic Bounds, Generalized Minimum Contrast Estimators, Implicit Utility Maximizing Weights

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

EFA 2009 Bergen Meetings Paper
Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 07 Jul 2010
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 227 (109,573)
Citation 3

Abstract:

Stochastic Discount Factor, Euler Equations, Generalized Minimum Contrast Estimators, Model Selection, Cressie Read Discrepancies

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Number of pages: 61 Posted: 17 Mar 2009
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 70 (275,712)
Citation 3

Abstract:

Stochastic Discount Factor, Euler Equations,Generalized Minimum Contrast Estimators, Model Selection, Cressie Read Discrepancies

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Number of pages: 39 Posted: 03 Mar 2010
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 55 (312,999)
Citation 1

Abstract:

Asset Pricing Proxies, Euler Equations, Minimum Discrepancy Estimators, Model Selection

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Number of pages: 49 Posted: 15 Mar 2011
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 40 (360,570)
Citation 1

Abstract:

Asset Pricing Proxies, Euler Equations, Minimum Discrepancy Estimators, Model Selection

4.

Robust Assessment of Hedge Fund Performance Through Nonparametric Risk Adjustment

Number of pages: 49 Posted: 08 Aug 2013 Last Revised: 27 Aug 2013
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 79 (190,473)

Abstract:

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

5.

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 76 (174,814)
Citation 1

Abstract:

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

6.

Nonparametric Option Pricing with Generalized Entropic Estimators

Number of pages: 49 Posted: 10 Dec 2014
Caio Almeida and Rafael Azevedo Sr.
Getulio Vargas Foundation and Getulio Vargas Foundation (FGV)
Downloads 36 (246,802)

Abstract:

Risk-Neutral Measure, Option Pricing, Nonparametric Estimation, Robustness, Minimum Contrast Estimators, Cressie Read Discrepancies

7.

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

Number of pages: 45 Posted: 10 Dec 2014 Last Revised: 15 Apr 2015
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 24 (378,358)

Abstract:

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

8.

A Hybrid Spline-Based Parametric Model for the Real Yield Curve

Number of pages: 43 Posted: 14 Jan 2017
Adriano Faria and Caio Almeida
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Getulio Vargas Foundation
Downloads 0 (283,953)

Abstract:

Price index, Spline Models, Exponential Term Structure Models, Curve Fitting, Risk management

9.

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 0 (174,814)

Abstract:

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

10.

Does Curvature Enhance Forecasting?

International Journal of Theoretical and Applied Finance (IJTAF), 2009
Posted: 16 Jan 2011
Caio Almeida
Getulio Vargas Foundation

Abstract:

Parametric term structure models, principal components, vector auto-regressive models, interest rate mean forecasting

Other Papers (2)

Total Downloads: 132    Citations: 15
1.

Do Options Contain Information About Excess Bond Returns?

AFA 2007 Chicago Meetings Paper
Number of pages: 35 Posted: 20 Mar 2006
Caio Almeida, Jeremy J. Graveline and Scott Joslin
Getulio Vargas Foundation, University of Minnesota - Carlson School of Management and University of Southern California
Downloads 81
Citation 11

Abstract:

2.

Empirical Likelihood Estimators for Stochastic Discount Factors

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 41
Citation 4

Abstract:

Stochastic Discount Factor, Information-Theoretic Bounds,Generalized Minimum Contrast Estimators, Implicit Utility Maximizing Weights