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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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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
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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
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Does curvature enhance forecasting?
Almeida, Caio; Gomes, Romeu; Leite, André; Vicente, José - 2007
Persistent link: https://www.econbiz.de/10003646179
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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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The role of no-arbitrage on forecasting : lessons from a parametric term structure model
Almeida, Caio; Vicente, José - In: Journal of banking & finance 32 (2008) 12, pp. 2695-2705
Persistent link: https://www.econbiz.de/10003796156
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Identifying volatility risk premia from fixed income Asian options
Almeida, Caio; Vicente, José - In: Journal of banking & finance 33 (2009) 4, pp. 652-661
Persistent link: https://www.econbiz.de/10003820565
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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
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Term structure movements implicit in option prices
Almeida, Caio (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003421823
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Identifying volatility risk premium from fixed income Asian options
Almeida, Caio (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003467488