Listagem Produção Intelectual em Bases Externas por autor "Almeida, Caio Ibsen Rodrigues de"
Itens para a visualização no momento 1-20 of 21
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Approximating risk premium on a parametric arbitrage-free term structure model
2014-11-14In 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 ... -
Are interest rate options important for the assessment of interest rate risk?
2009-08Fixed 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
2012-10Hansen 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?
2011-09-01There 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 ... -
Economic implications of nonlinear pricing kernels
2017-10Based 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
2016-03-10This 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
2008-05-01Sovereign 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 ... -
Forecasting bond yields with segmented term structure models
2018-02Inspired 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
2014-03-26This 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
2018Empirical 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
2009-04Fixed 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
2016-11-01This 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
2014-11-14Litterman 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
2008-12-01Neste 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 tail risk, stock returns, and the macroeconomy
2016This 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 ... -
Pricing and modeling credit derivatives
2007-05-01The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the ... -
Pricing options embedded in debentures with credit risk
2016-03-10In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ... -
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
2017The 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, ... -
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
2017-05-25The 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 \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ... -
Stochastic volatility and option pricing in the Brazilian stock market: an empirical investigation
2005The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close ...
