Similar Search Results

Nonparametric tail risk, stock returns and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016

Persistent link: https://www.econbiz.de/10011458735

Nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 333-376

Persistent link: https://www.econbiz.de/10011987494

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

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

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

Are interest rate options important for the assessment of interest rate risk?

Almeida, Caio; Vicente, José Roberto - In: Journal of banking & finance 33 (2009) 8, pp. 1376-1387

Persistent link: https://www.econbiz.de/10003855482

Are interest rate options important for the assessment of interest rate risk?

Almeida, Caio; Vicente, José Roberto - 2008

Persistent link: https://www.econbiz.de/10003822259

Tail risk exposures of hedge funds : evidence from unique Brazilian data

Almeida, Caio; Fernandes, Marcelo; Valente, Joao Paulo - In: Brazilian review of econometrics : BRE ; the review of … 41 (2021) 1, pp. 151-175

Persistent link: https://www.econbiz.de/10013382026

Are Interest Rate Options Important for the Assessment of Interest Rate Risk?

Almeida, Caio - 2018

Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution of interest rates. Based on dynamic term structure models within the...

Persistent link: https://www.econbiz.de/10012924539