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A note on the relation between principal components and dynamic factors in affine term structure models
Almeida, Caio Ibsen Rodrigues de - In: Brazilian review of econometrics : the review of the … 25 (2005) 1, pp. 89-114
Persistent link: https://www.econbiz.de/10009078658
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Decomposing and Simulating the Movements of Term Structures of Interest Rates in Emerging Eurobond Markets
Almeida, Caio Ibsen Rodrigues de; Marcos Duarte Jr, Antonio - In: The journal of fixed income 8 (1998) 1, pp. 21-32
Persistent link: https://www.econbiz.de/10007354590
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Risk regulation in Brazil : a general equilibrium model
Araújo, Aloísio Pessoa; Vicente, José Valentim M. - In: Brazilian review of econometrics : the review of the … 26 (2006) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10009075480
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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/10008175318
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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/10008141145
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Are interest rate options important for the assessment of interest rate risk?
Almeida, Caio; Vicente, José - In: Journal of banking & finance 33 (2009) 8, pp. 1376-1387
Persistent link: https://www.econbiz.de/10008248262
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Extracting default probabilities from sovereign bonds
Meres, Bernardo; Almeida, Caio - In: Brazilian review of econometrics : the review of the … 28 (2008) 1, pp. 77-94
Persistent link: https://www.econbiz.de/10010077039
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Pricing and modeling credit derivatives
Akat, Muzaffer; Almeida, Caio; Papanicolaou, George - In: Brazilian review of econometrics : the review of the … 27 (2007) 1, pp. 107-129
Persistent link: https://www.econbiz.de/10009068996
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Do interest rate options contain information about excess returns?
Almeida, Caio; Graveline, Jeremy J.; Joslin, Scott - In: Journal of econometrics 164 (2011) 1, pp. 35-45
Persistent link: https://www.econbiz.de/10009178484