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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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Interest rate risk measurement in Brazilian sovereign markets
Almeida, Caio; Duarte Júnior, Antonio Marcos; … - In: Estudos econômicos : publicação trimestral do … 34 (2004) 2, pp. 321-344
Persistent link: https://www.econbiz.de/10002119957
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Forecasting the Brazilian term structure using macroeconomic factors
Faria, Adriano; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 1, pp. 45-77
Persistent link: https://www.econbiz.de/10011538688
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Stochastic volatility and option pricing in the Brazilian stock market : an empirical investigation
Almeida, Caio; Dana, Samy - In: Journal of emerging market finance 4 (2005) 2, pp. 169-206
Persistent link: https://www.econbiz.de/10003094790
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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
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Credit spread arbitrage in emerging Eurobond markets
Almeida, Caio (contributor) - In: The journal of fixed income 10 (2000) 3, pp. 100-110
Persistent link: https://www.econbiz.de/10001549805
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Decomposing and simulating the movements of term structures of interest rates in emerging Eurobond markets
Almeida, Caio - In: The journal of fixed income 8 (1998) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10001246660
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Idiosyncratic moments and the cross-section of stock returns in Brazil
Ricca, Bernardo; Almeida, Caio; Tessari, Cristina - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 255-286
Persistent link: https://www.econbiz.de/10011644511
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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
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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