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Assessing misspecified asset pricing models with empirical likelihood estimators
Almeida, Caio; Garcia, René - In: Journal of econometrics 170 (2012) 2, pp. 519-537
Persistent link: https://www.econbiz.de/10009686763
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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/10003591179
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Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
Faria, Adriano; Ornelas, Rafael; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 43-62
Persistent link: https://www.econbiz.de/10011538973
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Economic implications of nonlinear pricing kernels
Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380
Persistent link: https://www.econbiz.de/10011760496
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Idiosyncratic moments and the cross-section of stock returns in Brazil
Ricca, Bernardo; Almeida, Caio; Tessari, Cristina - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 255-286
Persistent link: https://www.econbiz.de/10011644511
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Long-term yields implied by stochastic discount factor decompositions
Cordeiro, Fernando; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10012210606
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Measuring long run risks for Brazil
Brandão, Diego; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 145-183
Persistent link: https://www.econbiz.de/10012210621
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Risk aversion or model uncertainty? : an empirical cross-sectional analysis across countries
Engel, Pedro; Almeida, Caio; Valente, João Paulo - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 321-355
Persistent link: https://www.econbiz.de/10012129516
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An SDF approach to hedge funds' tail risk : evidence from Brazilian funds
Leal, Laura Simonsen; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 61-88
Persistent link: https://www.econbiz.de/10011860505
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Are higher-order factors useful in pricing the cross-section of hedge fund returns?
Fang, Elaine; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 17 (2019) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012221211