Produção Bibliográfica de Caio Ibsen Rodrigues de Almeida

Artigos em periódicos
  1. Forecasting Bond Yields with Segmented Term Structure Models*.
    Journal of financial econometrics. 2018
    Caio Ibsen Rodrigues de Almeida; Daniela Kubudi Glasman; José Vicente Valentim; Axel Simonsen; Kym Ardison
  2. An SDF Approach to Hedge Funds? Tail Risk: Evidence from Brazilian Funds.
    Brazilian review of econometrics. vol. 37, pp. 61-88, 2017
    Caio Ibsen Rodrigues de Almeida; Laura Simonsen Leal
  3. Economic Implications of Nonlinear Pricing Kernels.
    Management science. vol. 63, pp. 3361-3380, 2017
  4. Nonparametric Tail Risk, Stock Returns, and the Macroeconomy A Rejoinder.
    Journal of financial econometrics. vol. 15, pp. 418-426, 2017
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente; Renê Garcia; Kym Ardison
  5. Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters.
    Brazilian review of econometrics. vol. 36, pp. 43, 2016
    Caio Ibsen Rodrigues de Almeida; Alexandre de Almeida Faria; Rafael A. Ornelas
  6. Pricing Options Embedded in Debentures with Credit Risk.
    Brazilian review of econometrics. vol. 36, pp. 21, 2016
  7. Imunização de Carteiras de Renda Fixa Via Um Modelo Paramétrico Exponencial.
    Brazilian review of econometrics. vol. 34, pp. 155-201, 2015
  8. Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model.
    Brazilian review of econometrics. vol. 34, pp. 203-246, 2014
  9. Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil.
    Brazilian review of econometrics. vol. 99, pp. 99-131, 2014
    Caio Ibsen Rodrigues de Almeida; Bernardo Ricca; Cristina Tessari
  10. Assessing misspecified asset pricing models with empirical likelihood estimators.
    Journal of econometrics. vol. 170, pp. 519-537, 2012
  11. Term structure movements implicit in Asian option prices.
    Quantitative finance (Print). vol. 12, pp. 119-134, 2012
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente
  12. Do interest rate options contain information about excess returns?
    Journal of econometrics. vol. 164, pp. 35-44, 2011
    Caio Ibsen Rodrigues de Almeida; Jeremy Graveline; Scott Joslin
  13. Are interest rate options important for the assessment of interest rate risk?
    Journal of banking & finance (Print). vol. 33, pp. 1376-1387, 2009
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente
  14. DOES CURVATURE ENHANCE FORECASTING?
    International journal of theoretical and applied finance. vol. 12, pp. 1171, 2009
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente; Romeu Gomes; André Leite; Axel Simonsen
  15. Identifying volatility risk premia from fixed income Asian optionsâ.
    Journal of banking & finance (Print). vol. 33, pp. 652-661, 2009
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente
  16. Extracting Default Probabilities from Sovereign Bonds.
    Brazilian review of econometrics. vol. 28, pp. 77, 2008
    Caio Ibsen Rodrigues de Almeida; Bernardo de Carvalho Meres
  17. Movimentos da estrutura a termo e critérios de minimização do erro de previsão em um modelo paramétrico exponencial.
    Revista brasileira de economia (Print). vol. 62, pp. 497-510, 2008
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente; Romeu Gomes; André Leite
  18. The role of no-arbitrage on forecasting: Lessons from a parametric term structure model.
    Journal of banking & finance (Print). vol. 32, pp. 2695-2705, 2008
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente
  19. Pricing and Modeling Credit Derivatives.
    Brazilian review of econometrics. vol. 27, pp. 107, 2007
    Caio Ibsen Rodrigues de Almeida; Muzzaffer Akat; George Papanicolaou
  20. Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial.
    Revista brasileira de finanças (Print). vol. 5, pp. 79/5-92, 2007
    Caio Ibsen Rodrigues de Almeida; Felipe Canedo de Freitas Pinheiro; José Vicente Valentim
  21. A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models.
    Revista de econometria. vol. 25, n° 1, pp. 89-114, 2005
  22. Affine Processes, Arbitrage-Free Term Structures of Legendre Polynomials and Option Pricing.
    International journal of theoretical and applied finance. vol. 8, n° 2, pp. 161, 2005
  23. Stochastic Volatility and Option Pricing in the Brazilian Stock Marke: An Empirical Investigation.
    Journal of emerging market finance. vol. 4, n° 2, pp. 169-206, 2005
  24. Interest rate risk measurement in Brazilian sovereign markets.
    Estudos econômicos (são paulo. Print). vol. 34, n° 2, pp. 321-344, 2004
    Caio Ibsen Rodrigues de Almeida; Antonio Marcos Duarte Júnior; Cristiano Augusto Coelho Fernandes
  25. Time-Varying Risk Premia in Emerging Markets: Explanation by a Multi-Factor Affine Term Structure Model.
    International journal of theoretical and applied finance. vol. 7, n° 4, pp. 919, 2004
  26. A Generalization of Principal Component Analysis for Non-observable Term Structures in Emerging Markets.
    International journal of theoretical and applied finance. vol. 6, n° 8, pp. 885, 2003
  27. Portfolio Allocation Under Credit Risk.
    Revista brasileira de finanças (Print). vol. 1, n° 2, pp. 301-339, 2003
    Caio Ibsen Rodrigues de Almeida; Rogério de Deus Oliveira