Now showing items 1-7 of 7

    • Uma abordagem de teoria dos jogos sobre operações de aluguel no mercado acionário brasileiro 

      Ardison, Kym Marcel Martins; Costa, Luciana de Andrade
      2014-08-01
      In Brazil's market, the institution of interest on equity transactions provides a precedent for gains resulting from the difference between the tax rates of individuals and those of investment funds through structured ...
    • Applications of nonlinear stochastic discount factors in performance analysis and tail risk 

      Ardison, Kym Marcel Martins
      2018-04-12
      We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions ...
    • 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 ...
    • 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 ...
    • Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia 

      Ardison, Kym Marcel Martins
      2015-02-12
      This 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 ...
    • Nonparametric tail risk, stock returns, and the macroeconomy 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Garcia, René; Vicente, José
      2016
      This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...
    • Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Garcia, René; Vicente, José
      2017
      The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, ...