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/

Princeton University

26 Prospect Avenue

Princeton, NJ 08540

United States

SCHOLARLY PAPERS

18

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2,181

CITATIONS
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51

Scholarly Papers (18)

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 581 (45,192)
Citation 16

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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 252 (119,274)
Citation 2

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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 77 (311,462)
Citation 24

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

3.

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 (133,007)
Citation 8

Abstract:

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

4.

Nonparametric Assessment of Hedge Fund Performance

Number of pages: 72 Posted: 08 Aug 2013 Last Revised: 06 Jun 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 224 (134,737)
Citation 1

Abstract:

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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 180 (165,171)
Citation 2

Abstract:

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

6.

A Hybrid Spline-Based Parametric Model for the Yield Curve

Number of pages: 48 Posted: 14 Jan 2017 Last Revised: 19 Jul 2017
Adriano Faria and Caio Almeida
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Getulio Vargas Foundation
Downloads 124 (224,723)

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

7.

Nonparametric Option Pricing with Generalized Entropic Estimators

Number of pages: 49 Posted: 10 Dec 2014
Caio Almeida and Rafael Azevedo
Getulio Vargas Foundation and Getulio Vargas Foundation (FGV)
Downloads 116 (236,229)

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

8.

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 110 (245,267)

Abstract:

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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 57 (366,706)
Citation 1

Abstract:

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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 46 (404,612)

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

10.

Are Higher-Order Factors Useful in Pricing the Cross-Section of Hedge Fund Returns?

Number of pages: 57 Posted: 31 Jul 2018 Last Revised: 12 May 2019
Elaine Fang and Caio Almeida
Princeton University and Getulio Vargas Foundation
Downloads 45 (400,832)

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Hedge Fund Performance, LASSO, Risk Factors, Cross-Section of Returns

11.

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 40 (419,271)

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

12.

Do Interest Rate Options Contain Information About Excess Returns?

Number of pages: 35 Posted: 17 Feb 2018
Caio Almeida, Jeremy J. Graveline and Scott Joslin
Getulio Vargas Foundation, University of Minnesota - Carlson School of Management and University of Southern California
Downloads 21 (509,703)
Citation 6

Abstract:

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interest rates, options, risk premia, excess returns, forecasting

13.

The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model

Number of pages: 34 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 17 (532,825)
Citation 13

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Dynamic models, No-arbitrage, Forecasting, Bond risk premia

14.
Downloads 14 (550,350)
Citation 2

Does Curvature Enhance Forecasting?

Number of pages: 36 Posted: 14 Mar 2018
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil, Government of the Federative Republic of Brazil - Central Bank of Brazil, 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 14 (571,899)
Citation 2

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Parametric Term Structure Models, Principal Components, Vector Autoregressive Models, Interest Rate Mean Forecasting

Does Curvature Enhance Forecasting?

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

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

15.

Identifying Volatility Risk Premia from Fixed Income Asian Options

Number of pages: 43 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 13 (556,281)
Citation 3

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Asian Options, Risk Premium, Dynamic Term Structure Models, Incomplete Markets

16.

Are Interest Rate Options Important for the Assessment of Interest Rate Risk?

Number of pages: 32 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 13 (556,281)
Citation 4

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Dynamic term structure models, Value at risk, Back-testing procedures, Laplace Transform, Feller processes

17.

Tail Risk Exposures of Hedge Funds: Evidence From Unique Brazilian Data

Number of pages: 31 Posted: 03 Jun 2019
Getulio Vargas Foundation, Queen Mary University of London - Economics Department and Yale University, Department of Economics, Students
Downloads 12 (562,373)

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alternative investment, convergence trading, entropy, expected shortfall, power law

18.

Term Structure Movements Implicit in Asian Option Prices

Number of pages: 48 Posted: 21 Mar 2018
Caio Almeida and Jose Vicente
Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 12 (562,373)
Citation 1

Abstract:

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Dynamic term structure models, latent factors, bond risk premium, Asian option pricing

Other Papers (2)

Total Downloads: 149
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 86

Abstract:

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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 63

Abstract:

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