Narrow search
Showing 1 - 10 of 44
Cover Image
Measuring long run risks for Brazil
Brandão, Diego; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 145-183
Persistent link: https://www.econbiz.de/10012210621
Cover Image
Long-term yields implied by stochastic discount factor decompositions
Cordeiro, Fernando; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10012210606
Cover Image
Economic implications of nonlinear pricing kernels
Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380
Persistent link: https://www.econbiz.de/10011760496
Cover Image
An SDF approach to hedge funds' tail risk : evidence from Brazilian funds
Leal, Laura Simonsen; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 61-88
Persistent link: https://www.econbiz.de/10011860505
Cover Image
Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016
Persistent link: https://www.econbiz.de/10011458735
Cover Image
Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
Cover Image
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
Cover Image
Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
Faria, Adriano; Ornelas, Rafael; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 43-62
Persistent link: https://www.econbiz.de/10011538973
Cover Image
Risk aversion or model uncertainty? : an empirical cross-sectional analysis across countries
Engel, Pedro; Almeida, Caio; Valente, João Paulo - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 321-355
Persistent link: https://www.econbiz.de/10012129516
Cover Image
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