Now showing items 1-20 of 30

    • Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing 

      Almeida, Caio Ibsen Rodrigues de
      2005-02-03
      Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate ...
    • Approximating risk premium on a parametric arbitrage-free term structure model 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Kubudi, Daniela
      2014-11-14
      In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ...
    • Approximating risk premium on a parametric arbitrage-free term structure model 

      Almeida, Caio Ibsen Rodrigues de
      2014
      In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids full optimization ...
    • Are interest rate options important for the assessment of interest rate risk? 

      Almeida, Caio Ibsen Rodrigues de; Vicente, José
      2009-08
      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 ...
    • Assessing misspecified asset pricing models with empirical likelihood estimators 

      Almeida, Caio Ibsen Rodrigues de; Garcia, René
      2012-10
      Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum ...
    • Do interest rate options contain information about excess returns? 

      Almeida, Caio Ibsen Rodrigues de; Graveline, Jeremy J.; Joslin, Scott
      2011-09-01
      There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...
    • Do options contain information about excess bond returns ? 

      Almeida, Caio Ibsen Rodrigues de
      2006-02-23
      There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of ...
    • Does curvature enhance forecasting? 

      Almeida, Caio Ibsen Rodrigues de; Gomes, Romeu; Leite, André; Vicente, José
      2008
      In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rates. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor ...
    • Economic implications of nonlinear pricing kernels 

      Almeida, Caio Ibsen Rodrigues de; Garcia, René
      2017-10
      Based on a family of discrepancy functions, we derive nonparametric stochastic discount factor bounds that naturally generalize variance, entropy, and higher-moment bounds. These bounds are especially useful to identify ...
    • Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters 

      Faria, Adriano; Ornelas, Rafael Amaral; Almeida, Caio Ibsen Rodrigues de
      2016-03-10
      This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ...
    • Extracting default probabilities from sovereign bonds 

      Meres, Bernardo; Almeida, Caio Ibsen Rodrigues de
      2008-05-01
      Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there are numerous measures aiming to identify the way risk is perceived by market participants. In such environment, probabilities ...
    • Financial Economics in Rio: celebration of the 50th anniversary of EPGE 

      Almeida, Caio Ibsen Rodrigues de; Cysne, Rubens Penha; Leal, Carlos Ivan Simonsen
      2013-10-15
    • Forecasting bond yields with segmented term structure models 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Glasman, Daniela Kubudi; Simonsen, Axel André; Vicente, José
      2018-02
      Inspired by the preferred habitat theory, we propose parametric interest rate models that split the term structure into segments. The proposed models are compared with successful term structure benchmarks based on out-of-sample ...
    • Forecasting the Brazilian term structure using macroeconomic factors 

      Almeida, Caio Ibsen Rodrigues de; Faria, Adriano
      2014-03-26
       This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of 171 macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed ...
    • A hybrid spline-based parametric model for the yield curve 

      Faria, Adriano Augusto de; Almeida, Caio Ibsen Rodrigues de
      2018
      Empirical evidence indicates that both nominal and real yield curves in important markets have segmentation between their short end and their longer-maturity segments. This segmentation might affect term structure estimation, ...
    • Identifying volatility risk premia from fixed income Asian options 

      Almeida, Caio Ibsen Rodrigues de; Vicente, Jose
      2009-04
      Fixed income options are frequently adopted by companies to hedge interest rate risk. Their payoff dependence on the cumulative short-term rate makes them particularly informative about interest rate volatility risk. Based ...
    • Idiosyncratic moments and the cross-section of stock returns in Brazil 

      Almeida, Caio Ibsen Rodrigues de; Ricca, Bernardo; Tessari, Cristina
      2016-11-01
      This online appendix reports additional robustness checks for our main results. Wepresent a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (expected skewness, realized skewness, ...
    • Immunization of fixed-income portfolios using an exponential parametric model 

      Almeida, Caio Ibsen Rodrigues de; Lund, Bruno
      2014-11-14
      Litterman e Scheinkman (1991) mostram que mesmo uma carteira de renda fixa duration imunizada (neutra) pode sofrer grandes perdas e, portanto, propõem fazer hedge de carteiras utilizando a análise de componentes principais. ...
    • Movimentos da estrutura a termo e critérios de minimização do erro de previsão em um modelo paramétrico exponencial 

      Almeida, Caio Ibsen Rodrigues de; Gomes, Romeu; Leite, André; Vicente, José
      2008-12-01
      Neste artigo, nós estudamos como diferentes escolhas dos loadings afetam a previsão do modelo exponencial de estrutura a termo proposto por Diebold e Li (2006). Os loadings são definidos através de um parâmetro específico ...
    • Nonparametric assessment of hedge fund performance 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym; Garcia, René
      2018-04-23
      We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing ...