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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

Nonparametric tail risk, stock returns and the macroeconomy

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

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

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

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

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

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

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

A hybrid spline-based parametric model for the yield curve

Faria, Adriano; Almeida, Caio - In: Journal of economic dynamics & control 86 (2018), pp. 72-94

Persistent link: https://www.econbiz.de/10011973855

Generalized risk premia

Schneider, Paul - In: Journal of financial economics 116 (2015) 3, pp. 487-504

Persistent link: https://www.econbiz.de/10011348467

Generalized risk premia

Schneider, Paul - 2014

This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order...

Persistent link: https://www.econbiz.de/10010412884