Browsing by Advisor "Almeida, Caio Ibsen Rodrigues de"
Now showing items 21-39 of 39
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Imunização de carteiras de renda fixa via um modelo paramétrico exponencial
2007-12Litterman e Scheinkman (1991) mostram que mesmo uma carteira de renda xa duration imunizada (neutra) pode sofrer grandes perdas e, portanto, propõem fazer hedge de carteiras utilizando a análise de componentes principais. ... -
Investor disagreement: the modern approach
2015-04-27Disagreement between economists is a well know fact. However, it took a long time for this concept to be incorporated in economic models. In this survey, we review the consequences and insights provided by recent models. ... -
Limited attention and investor disagreement: a nowcasting approach
2015-04-27When disagreement in economic models occurs due to different interpretations of public signals, the level of ``marketwide disagreement'' not necessarily decreases upon the arrival of a public signal. We propose an empirical ... -
Modelagem paramétrica de curvas de crédito no mercado brasileiro
2012-05-25Após a crise financeira de 2008, é perceptível a intensificação de esforços globais para aperfeiçoar métodos de avaliação de risco e ajuste de exposição de capital para tornar o sistema financeiro mundial mais sólido e ... -
Modelos estatísticos de segmentação da estrutura a Termo: testes empíricos de ajustes e previsões
2008-09-18Neste trabalho é proposta uma classe de modelos paramétricos para estrutura a termo de taxa de juros (ETTJ) em que diferentes segmentos possam ter características próprias, porém não independentes, o que é condizente com ... -
Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
2015-02-12This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ... -
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos
2013-06-11This article studies the prediction of the Brazilian interest rate term structure employing the use of common factors extracted from a vast database of macroeconomic series. The estimation and prediction periods analyzed ... -
Uma resenha sobre modelos de apreçamento de derivativos
2012-06-29I present here an approach that unify a variety of derivative pricing models that consists of attaining a Partial Differential Equation(PDE) by intuitive arguments and give its solution by Feynman-Kac method as a conditinal ... -
Risco soberano e probabilidade de default implícita em swaps de crédito
2008-09-17Este trabalho propõe um modelo de forma reduzida livre de arbitragem para a extração de probabilidades de default a partir de spreads de Swaps de Crédito e aplica-o realizando uma análise da percepção de risco da dívida ... -
Risk prices and model selection: bad news about sparse estimators and an uniformly valid inference theory
2019-03-28Lots of risk factors have been published in Finance papers in the last 20 years. Under a large menu, it’s hard to manually construct factor models with data-driven discipline and, more importantly, it’s difficult to assess ... -
An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds
2016-03-21The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ... -
Short selling frictions, investor behavior and stock returns
2019-07-12Três artigos empíricos compõe esta dissertação. Os dois primeiros analisam como as diversas fricções do mercado de aluguel de ações afetam o mercado a vista. O último artigo, por sua vez, usa dados a nível de transação ... -
Sorte versus habilidade, uma abordagem através de cross section da indústria de fundos de ações no Brasil
2012-05-28Initially, we test the hypothesis that actively managed funds presents alphas (excess return) when compared to the Brazilian equity indexes used by passive funds. Then bootstrap simulations check if theses alphas can be ... -
Stochastic discount factor bounds and rare events: a review
2016-03-22We aim to provide a review of the stochastic discount factor bounds usually applied to diagnose asset pricing models. In particular, we mainly discuss the bounds used to analyze the disaster model of Barro (2006). Our ... -
A systematic component of the jump-risk premium in an AJD model
2015-04-07We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite ... -
Three Essays in macro-finance
2019-12-20This dissertation consists of three essays in Macro-Finance. The first two papers study tail risk in the hedge fund industry, and the last paper investigates the effects of fiscal irresponsibility in a monetary union under ... -
Three essays on macro-finance: robustness and portfolio theory
2017-07-28This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries ... -
Three essays on the estimation of asset pricing models
2016-09-23The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA ... -
Utilizando estimadores entrópicos generalizados na estimação de modelos de apreçamento de ativos
2013-12-16Este trabalho analisa as propriedades de uma nova medida de má especificação de modelos de apreçamento, que está relacionada com o tamanho do ajuste multiplicativo necessário para que o modelo seja corretamente especificado. ...
