Produção Bibliográfica de Caio Ibsen Rodrigues de Almeida

Artigos em periódicos
  1. A hybrid spline-based parametric model for the yield curve.
    Journal of economic dynamics & control. vol. 86, pp. 72-94, 2018
  2. Forecasting Bond Yields with Segmented Term Structure Models.
    Journal of financial econometrics. vol. 16, pp. 1-33, 2018
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente; Axel Andre Simonsen; Daniela Kubudi Glasman; Kym Marcel Martins Ardison
  3. Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries.
    Brazilian review of econometrics. vol. 38, pp. 321, 2018
    Caio Ibsen Rodrigues de Almeida; Pedro Engel; João Paulo Valente
  4. 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
  5. Economic Implications of Nonlinear Pricing Kernels.
    Management Science. vol. 63, pp. 0025-1909-3380, 2017
  6. Nonparametric Tail Risk and Stock Returns: Predictability and the Macroeconomy.
    Journal of financial econometrics. vol. 15, pp. 333-376, 2017
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente; Junior Ruiz Garcia; Kym Ardison
  7. 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
  8. Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil.
    Brazilian review of econometrics. vol. 99, pp. 99-131, 2016
    Caio Ibsen Rodrigues de Almeida; Bernardo Ricca; Cristina Tessari
  9. Pricing Options Embedded in Debentures with Credit Risk.
    Brazilian review of econometrics. vol. 36, pp. 21, 2016
  10. Imunização de Carteiras de Renda Fixa Via Um Modelo Paramétrico Exponencial.
    Brazilian review of econometrics. vol. 34, pp. 155-201, 2015
  11. Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model.
    Brazilian review of econometrics. vol. 34, n° 2, pp. 203-246, 2014
  12. Forecasting the Brazilian Term Structure Using Macroeconomic Factors.
    Brazilian review of econometrics. vol. 34, n° 1, pp. 45-77, 2014
    Caio Ibsen Rodrigues de Almeida; Alexandre de Almeida Faria
  13. Assessing misspecified asset pricing models with empirical likelihood estimators.
    Journal of econometrics. vol. 170, pp. 519-537, 2012
  14. Term structure movements implicit in Asian option prices.
    Quantitative finance. vol. 12, pp. 119-134, 2012
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente
  15. 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
  16. Are interest rate options important for the assessment of interest rate risk?
    Journal of banking & finance. vol. 33, pp. 1376-1387, 2009
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente
  17. 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; Axel Andre Simonsen; Romeu Gomes; André Leite
  18. Identifying volatility risk premia from fixed income Asian optionsâ.
    Journal of banking & finance. vol. 33, pp. 652-661, 2009
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente
  19. Extracting Default Probabilities from Sovereign Bonds.
    Brazilian review of econometrics. vol. 28, pp. 77, 2008
    Caio Ibsen Rodrigues de Almeida; Bernardo de Carvalho Meres
  20. Movimentos da estrutura a termo e critérios de minimização do erro de previsão em um modelo paramétrico exponencial.
    Revista brasileira de economia. vol. 62, pp. 497-510, 2008
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente; Romeu Gomes; André Leite
  21. The role of no-arbitrage on forecasting: Lessons from a parametric term structure model.
    Journal of banking & finance. vol. 32, pp. 2695-2705, 2008
    Caio Ibsen Rodrigues de Almeida; José Valentim Machado Vicente
  22. Pricing and Modeling Credit Derivatives.
    Brazilian review of econometrics. vol. 27, pp. 107, 2007
    Caio Ibsen Rodrigues de Almeida; Muzzaffer Akat; George Papanicolaou
  23. Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial.
    Revista brasileira de finanças. vol. 5, pp. 79/5-92, 2007
    Caio Ibsen Rodrigues de Almeida; Felipe Canedo de Freitas Pinheiro; José Vicente Valentim
  24. 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
  25. 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
  26. Stochastic Volatility and Option Pricing in the Brazilian Stock Market: An Empirical Investigation.
    Journal of emerging market finance. vol. 4, n° 2, pp. 169-206, 2005
  27. Interest rate risk measurement in Brazilian sovereign markets.
    Estudos econômicos. vol. 34, n° 2, pp. 321-344, 2004
    Caio Ibsen Rodrigues de Almeida; Antonio Marcos Duarte Júnior; Cristiano Augusto Coelho Fernandes
  28. 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
  29. 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
  30. Portfolio Allocation Under Credit Risk.
    Revista brasileira de finanças. vol. 1, n° 2, pp. 301-339, 2003
    Caio Ibsen Rodrigues de Almeida; Rogerio de Deus Oliveira