Narrow search
Showing 1 - 10 of 29
Cover Image
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
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
Cover Image
A note on the relation between principal components and dynamic factors in affine term structure models
Almeida, Caio - In: Brazilian review of econometrics : the review of the … 25 (2005) 1, pp. 89-114
Persistent link: https://www.econbiz.de/10003120440
Cover Image
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
Cover Image
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
Cover Image
Approximating risk premium on a parametric arbitrage-free term structure model
Almeida, Caio; Ardison, Kym; Kubudi, Daniela - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 203-246
Persistent link: https://www.econbiz.de/10011538792
Cover Image
Immunization of fixed-income portfolios using an exponential parametric model
Lund, Bruno; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 155-201
Persistent link: https://www.econbiz.de/10011538795
Cover Image
Pricing options embedded in debentures with credit risk
Almeida, Caio; Pereira, Leonardo - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10011538968
Cover Image
Forecasting bond yields with segmented term structure models
Almeida, Caio; Ardison, Kym; Kubudi, Daniela; Simonsen, Axel - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011987669
Cover Image
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