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

Researcher/Lecturer

26 Prospect Avenue

Princeton, NJ 08540

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 21,348

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Top 21,348

in Total Papers Downloads

2,471

SSRN CITATIONS
Rank 11,888

SSRN RANKINGS

Top 11,888

in Total Papers Citations

75

CROSSREF CITATIONS

18

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 601 (48,421)
Citation 19

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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 262 (127,196)
Citation 2

Abstract:

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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 81 (332,781)
Citation 19

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

3.

Nonparametric Assessment of Hedge Fund Performance

Number of pages: 62 Posted: 08 Aug 2013 Last Revised: 14 Aug 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 275 (121,442)
Citation 3

Abstract:

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

4.

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 248 (135,191)
Citation 8

Abstract:

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

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 193 (171,576)
Citation 2

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

6.

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

Number of pages: 58 Posted: 31 Jul 2018 Last Revised: 13 Jan 2020
Getulio Vargas Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal - CIREQ - Département de sciences économiques and HEC Montréal
Downloads 147 (216,917)

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7.

An Anatomy of Generalized Entropic Estimators in Option Pricing

Number of pages: 59 Posted: 10 Dec 2014 Last Revised: 02 Oct 2019
Getulio Vargas Foundation, EPGE Brazilian School of Economics and Finance, Getulio Vargas Foundation (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 140 (225,585)

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

8.

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 138 (228,224)

Abstract:

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

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 61 (389,894)
Citation 2

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 50 (429,138)

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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 62 (381,580)
Citation 1

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

11.

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 47 (433,089)

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

12.

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 43 (448,729)

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

13.

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 - Department of Finance and Business Economics
Downloads 30 (507,826)
Citation 10

Abstract:

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

14.

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 23 (548,050)

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

15.

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 20 (566,926)
Citation 8

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

16.

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 17 (586,301)
Citation 1

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

17.
Downloads 17 (586,301)
Citation 1

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 17 (607,544)
Citation 1

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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

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 16 (592,673)
Citation 1

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

Other Papers (2)

Total Downloads: 157
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 - Department of Finance and Business Economics
Downloads 91

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 66

Abstract:

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