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Time-varying risk premia in emerging markets : explanation by a multi-factor affine term structure model
Almeida, Caio - In: International journal of theoretical and applied finance 7 (2004) 7, pp. 919-947
Persistent link: https://www.econbiz.de/10002420784
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Affine processes, arbitrage-free term structures of legendre polynomials, and option pricing
Almeida, Caio - In: International journal of theoretical and applied finance 8 (2005) 2, pp. 161-184
Persistent link: https://www.econbiz.de/10002679509
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Does curvature enhance forecasting?
Almeida, Caio; Gomes, Romeu; Leite, André; Simonsen, Axel - In: International journal of theoretical and applied finance 12 (2009) 8, pp. 1171-1196
Persistent link: https://www.econbiz.de/10003946585
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A generalization of principal component analysis for non-observable term structures in emerging markets
Almeida, Caio; Duarte Júnior, Antonio Marcos; … - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 885-903
Persistent link: https://www.econbiz.de/10001862220